Does routine supervisory communication move volatility? Evidence from 285 ECB announcements

Supervisory authorities communicate continuously, yet the evidence on market reactions concerns a few landmark events. This paper tests whether the ordinary flow of European Central Bank (ECB) Banking Supervision communication, all 285 press releases published between 2013 and 2025, moves the daily volatility of euro area bank equity. Announcement effects are estimated in an exponential GARCH (EGARCH) model of bank index returns and assessed by randomization inference over placebo dates matched on calendar year and weekday, re-estimating the model on every assignment. The estimated increase in conditional volatility on announcement days is 2.4% (p = 0.71). Inverting the same test bounds the effect between −3.1% and +4.4%, and an equivalence test rejects increases of 4% or more. Applied to 113 monetary policy decisions, the identical design detects a 9.0% increase (p = 0.023), although the difference between the two event classes is only marginally significant. No policy regime of the sample rejects the null, and the longest reproduces the bound. Standardized residuals show that announcement days are less often quiet but no more often turbulent. The routine flow of supervisory communication is not a material source of aggregate bank volatility.