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Were verbal efforts to support the euro effective? A high-frequency analysis of ECB statements

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  • Jansen, David-Jan
  • de Haan, Jakob

Abstract

This paper studies the effects of verbal interventions by European cen-tral bankers on high-frequency euro-dollar exchange rates. We find that ECB verbal interventions have had only small and short-lived effects. Ver- bal interventions which are reported in news report headlines are more likely to be successful, whereas verbal interventions on days with releases of macroeconomic data are less successful. There is no difference in the effects of comments by members of the ECB Executive Board and presi- dents of national central banks.

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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Political Economy.

Volume (Year): 23 (2007)
Issue (Month): 1 (March)
Pages: 245-259

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Handle: RePEc:eee:poleco:v:23:y:2007:i:1:p:245-259

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Web page: http://www.elsevier.com/locate/inca/505544

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  1. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(7), pages 1108-1125, November.
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  6. Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series 0363, European Central Bank.
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  8. Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, Elsevier, vol. 88(1), pages 26-50, April.
  9. David-Jan Jansen & Jakob de Haan, 2004. "Look Who’s Talking: ECB Communication during the First Years of EMU," CESifo Working Paper Series 1263, CESifo Group Munich.
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  14. Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
  15. Rasmus Fatum & Michael M. Hutchison, . "Is Sterilized Foreign Exchange Intervention Effective After All? An Event Study Approach," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics 99-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  16. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
  17. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  18. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(1), pages 146-167, February.
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