TY - JOUR

T1 - What matters when? The impact of ECB communication on financial market expectations

AU - Lamla, Michael J.

AU - Lein, Sarah M.

PY - 2011/11/1

Y1 - 2011/11/1

N2 - This article analyses financial markets' reaction to European Central Bank's (ECB) communication. We apply a novel indicator that quantifies the contents of the ECB's introductory statements and allows disentangling ECB statements on prices, the real and the monetary sector. We provide evidence that it matters what issue the ECB is speaking about: especially, the ECB's statements on price developments represent important news to financial markets. It also matters when the ECB affects markets: communication drives maturities above 4 months.

AB - This article analyses financial markets' reaction to European Central Bank's (ECB) communication. We apply a novel indicator that quantifies the contents of the ECB's introductory statements and allows disentangling ECB statements on prices, the real and the monetary sector. We provide evidence that it matters what issue the ECB is speaking about: especially, the ECB's statements on price developments represent important news to financial markets. It also matters when the ECB affects markets: communication drives maturities above 4 months.

KW - Economics

UR - http://www.scopus.com/inward/record.url?scp=84860395684&partnerID=8YFLogxK

U2 - 10.1080/00036846.2010.491452

DO - 10.1080/00036846.2010.491452

M3 - Journal articles

AN - SCOPUS:84860395684

VL - 43

SP - 4289

EP - 4309

JO - Applied Economics

JF - Applied Economics

SN - 0003-6846

IS - 28

ER -