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Providing Content for ECB Announcements

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  • Carlo ROSA

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    (Institute of the World Economy)

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    Abstract

    This paper proposes a new objective methodology for analysing the verbatim transcripts of central bank announcements. I apply a statistical method based on locally recurring word patterns, the descending hierarchical classification algorithm, to identify the characteristic themes of the monthly press conferences of the President of the ECB. The econometric evidence suggests that these press conferences convey information to the public. Moreover, the reaction of market rates strongly depends on the principal themes of the statement.

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    File URL: http://riss.vitaepensiero.it/scheda-articolo_digital/carlo-rosa/providing-content-for-ecb-announcements-000518_2007_0004_0051-150891.html
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    Bibliographic Info

    Article provided by Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore in its journal Rivista Internazionale di Scienze Sociali.

    Volume (Year): 115 (2007)
    Issue (Month): 4 ()
    Pages: 525-546

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    Handle: RePEc:vep:journl:y:2007:v:115:i:4:p:525-546

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    Related research

    Keywords: ECB communication; narrative approach; statistical content analysis; Descending Hierarchical Classification Algorithm; Euribor interest;

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