Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate

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Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate

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Jansen, David-Jan
de Haan, Jakob

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Abstract

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news coverage. We conclude that ECB statements have mainly influenced volatility. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to 'talk up' the euro have not been successful. There is also evidence of asymmetric reactions to news.

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Paper provided by CESifo GmbH in its series CESifo Working Paper Series with number CESifo Working Paper No. 927.

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Date of creation: 2003
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Handle: RePEc:ces:ceswps:_927

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Paper
- D. Jansen & J. de Haan, 2003. "Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate," WO Research Memoranda (discontinued) 726, Netherlands Central Bank, Research Department. [Downloadable!]

Find related papers by JEL classification:
E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
F31 - International Economics - - International Finance - - - Foreign Exchange

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-05-02 (All new papers)
NEP-IFN-2004-05-02 (International Finance)
NEP-MON-2004-05-02 (Monetary Economics)

References listed on IDEAS
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Other versions:
- 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. [Downloadable!] (restricted)
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Other versions:
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Other versions:
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Other versions:
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Marie Musard-Gies, 2005. "Do ECB's statements steer short-term and long-term interest rates in the euro zone?," Money Macro and Finance (MMF) Research Group Conference 2005 56, Money Macro and Finance Research Group. [Downloadable!]
Other versions:
- Marie Musard-Gies, 2006. "Do ECB's Statements Steer Short-Term and Long-Term Interest Rates in the Euro Zone ?," Working Papers halshs-00007692_v1, HAL. [Downloadable!]
David-Jan Jansen & Jakob de Haan, 2004. "Look Who's Talking: ECB communication during the first years of EMU," DNB Working Papers 007, Netherlands Central Bank, Research Department. [Downloadable!]
Other versions:
- David-Jan Jansen & Jakob de Haan, 2004. "Look Who’s Talking: ECB Communication during the First Years of EMU," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
- David-Jan Jansen & Jakob de Haan, 2006. "Look who's talking: ECB communication during the first years of EMU," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-228. [Downloadable!]

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