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Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility

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  • Adrian Cantemir Călin

Abstract

During the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE). Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this context, this paper focuses on a wide set of public speeches delivered by officials belonging to the most relevant central banks. These statements cover a large pallet of topics including areas such as QE, tapering, financial stability, unemployment or interest rates. The aim of this study is to investigate the impact that these speeches have on the volatility of exchange rates. For this purpose, the methodology relies on an econometric event study that incorporates three volatility models and intraday five-minute frequencies. The results indicate the fact that public statements have a clear, evident, significant and robust impact on the observed assets.

Suggested Citation

  • Adrian Cantemir Călin, 2015. "Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(56), pages 3-18, June,.
    • Handle: RePEc:rej:journl:v:18:y:2015:i:56:p:3-18
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    More about this item

    Keywords

    monetary policy; central banks; volatility; exchange rate; official speeches;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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