Central bank communication by ??? The economics of monetary policy leaks

Using a novel database of media-reported anonymous leaks about monetary policy in the euro area, we conduct the first systematic empirical analysis of these confidential information disclosures originating from central banks. Our database reveals that Eurosystem leaks are frequent — in particular relative to leaks from other major central banks. We provide evidence that many Eurosystem leaks are likely not accidents, but placed strategically by insiders. Exploiting high-frequency financial market reactions to leaks, we find that they have large effects on markets relative to standard monetary surprises, often exceeding the impact of attributed statements by policy-makers. Yet, mainly reflecting minority opinions, leaks do not usually lock in decision-making. Post-meeting leaks regularly reveal information about dissent on the committee, changing market perceptions about the strength of the policy signal. Post-meeting leaks thereby reverse some of the initial market effect of official policy announcements.