Skip to main content

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

Buy Article:

$51.00 plus tax (Refund Policy)

Abstract:

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

DOI: http://dx.doi.org/10.1111/j.1538-4616.2010.00346.x

Affiliations: 1: Christian Conrad is an Assistant Professor for Empirical Economics, Faculty of Economics and Social Studies, University of Heidelberg (: )., Email: christian.conrad@awi.uni-heidelberg.de 2: Michael J. Lamla is a Researcher at the KOF Swiss Economic Institute, ETH Zurich (: )., Email: lamla@kof.ethz.ch

Publication date: October 1, 2010

bpl/jmcb/2010/00000042/00000007/art00008
dcterms_title,dcterms_description,pub_keyword
6
5
20
40
5

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more