The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication
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. Copyright (c) 2010 The Ohio State University.Download Info
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Bibliographic Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 42 (2010)
Issue (Month): 7 (October)
Pages: 1391-1417
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Handle: RePEc:mcb:jmoncb:v:42:y:2010:i:7:p:1391-1417
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
For corrections or technical questions regarding this item, or to correct its listing, contact: (Robert Roslyn) or (Christopher F. Baum).
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Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Barbara Bêdowska-Sójka, 2011. "The Impact of Macro News on Volatility of Stock Exchanges," Dynamic Econometric Models, Wydawnictwo Naukowe Uniwersytetu Mikolaja Kopernika, vol. 11, pages 99-110.
- Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 361-385.
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