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What matters when? The impact of ECB communication on financial market expectations

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  • Michael Lamla
  • Sarah Lein

Abstract

This article analyses financial markets' reaction to European Central Bank's (ECB) communication. We apply a novel indicator that quantifies the contents of the ECB's introductory statements and allows disentangling ECB statements on prices, the real and the monetary sector. We provide evidence that it matters what issue the ECB is speaking about: especially, the ECB's statements on price developments represent important news to financial markets. It also matters when the ECB affects markets: communication drives maturities above 4 months.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/00036846.2010.491452
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 43 (2011)
Issue (Month): 28 ()
Pages: 4289-4309

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Handle: RePEc:taf:applec:v:43:y:2011:i:28:p:4289-4309

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Web page: http://www.tandfonline.com/RAEC20

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Cited by:
  1. Rosa, Carlo, 2013. "Market efficiency broadcasted live: ECB code words and euro exchange rates," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 167-178.

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