The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication

被引：67

作者：

Conrad, Christian ^{[1
]}

Lamla, Michael J. ^{[2
]}

机构：

[1] Heidelberg Univ, Fac Econ & Social Studies, D-6900 Heidelberg, Germany

[2] ETH, KOF Swiss Econ Inst, Zurich, Switzerland

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2010年 / 42卷 / 07期

关键词：

C22; E52; E58; F31; central bank communication; exchange rate; expectations; long memory GARCH processes; monetary policy announcements; Taylor rules; MONETARY-POLICY; MACROECONOMIC ANNOUNCEMENTS; EXPECTATIONS; DYNAMICS; NEWS;

D O I：

10.1111/j.1538-4616.2010.00346.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the impact of the European Central Bank's monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high frequency. Based on the method of Content Analysis, we construct communication indicators for the introductory statement and find that communication with respect to future price developments is most relevant. In response to statements about increasing risks to price stability the EUR appreciates on impact. To the contrary, communication about economic activity and monetary aggregates does not generate significant exchange rate reactions.

引用

页码：1391 / 1417

页数：27

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