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

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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.

Keywords: C22; E52; E58; F31; Taylor rules; central bank communication; exchange rate; expectations; long memory GARCH processes; monetary policy announcements

Document Type: Research Article


Affiliations: 1: Christian Conrad is an Assistant Professor for Empirical Economics, Faculty of Economics and Social Studies, University of Heidelberg (: )., Email: 2: Michael J. Lamla is a Researcher at the KOF Swiss Economic Institute, ETH Zurich (: )., Email:

Publication date: October 1, 2010


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