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Providing Content for ECB Announcements

Author

Listed:
  • Carlo ROSA

    (Institute of the World Economy)

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.

Suggested Citation

  • Carlo ROSA, 2007. "Providing Content for ECB Announcements," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 115(4), pages 525-546.
    • Handle: RePEc:vep:journl:y:2007:v:115:i:4:p:525-546
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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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    Citations

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    Cited by:

    1. Scott Hendry & Alison Madeley, 2010. "Text Mining and the Information Content of Bank of Canada Communications," Staff Working Papers 10-31, Bank of Canada.
    2. Tavares, José & Sazedj, Sharmin, 2011. "Hope, Change, and Financial Markets: Can Obama's Words Drive the Market?," CEPR Discussion Papers 8713, C.E.P.R. Discussion Papers.

    More about this item

    Keywords

    ECB communication; narrative approach; statistical content analysis; Descending Hierarchical Classification Algorithm; Euribor interest;
    All these keywords.

    JEL classification:

    • 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

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