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ECB language and stock returns – A textual analysis of ECB press conferences

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  • Möller, Rouven
  • Reichmann, Doron

Abstract

This paper examines the language used by central bank officials in public press conferences and how it influences stock returns in the euro area. By proposing a sentiment mining approach that accounts for grammatical and syntactical cues, a distinction is drawn between (i) the general tone, (ii) uncertainty, and (iii) constraint expressed by ECB officials. The results show that as constraining language is often used to express policy commitment, press conferences with higher fractions of constraining language are associated with positive intraday stock price movements in times of unconventional monetary policy. In addition, we conclude that in times of crises, intraday returns are more sensitive towards the general tone of ECB officials as market participants may find it harder to grasp the future path of monetary policy. In further analyses, a distinction is made between sections within the press conferences that specifically address either the monetary analysis or the economic outlook. The results indicate that market participants interpret uncertain language in the economic outlook as a signal of expansive monetary policy decisions going forward as indicated by positive intraday stock returns. Finally, by proposing a novel rule-based approach to identify forward-looking statements of ECB press conferences, first evidence is provided in this paper that forward-looking answers given by ECB officials in the Q&A Sessions significantly affect euro area stock returns.

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  • Möller, Rouven & Reichmann, Doron, 2021. "ECB language and stock returns – A textual analysis of ECB press conferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 590-604.
  • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:590-604
    DOI: 10.1016/j.qref.2021.04.003
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    More about this item

    Keywords

    Central bank communication; Forward guidance; Textual analysis;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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