Arbeitspapier

The impact of ECB communication on financial market expectations

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This paper analyzes European financial markets' comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantifies the contents of the ECB's introductory statements, we find that communication affects the term structure of interest rates in the medium run over a horizon between five months to one year. Our results suggest that financial market agents expect the ECB to prepare them for a change in interest rates well in advance. However, judging upon the dynamics of the response, the exact timing of a decision is less foreseeable. Disentangling the effects of ECB statements on prices, the real and the monetary sector, we provide evidence that especially the ECB's interpretation and forecasts of price developments represent important news to financial market agents.

Sprache
Englisch

Erschienen in
Series: KOF Working Papers ; No. 135

Klassifikation
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Central Banks and Their Policies
Thema
Central Bank Communication
Expectations
Term Structure of Interest Rates
Yield Curve
ECB
Zentralbank
Öffentlichkeitsarbeit
Informationsverbreitung
Zinsstruktur

Ereignis
Geistige Schöpfung
(wer)
Lamla, Michael J.
Rupprecht, Sarah M.
Ereignis
Veröffentlichung
(wer)
ETH Zurich, KOF Swiss Economic Institute
(wo)
Zurich
(wann)
2006

DOI
doi:10.3929/ethz-a-005187503
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Arbeitspapier

Beteiligte

  • Lamla, Michael J.
  • Rupprecht, Sarah M.
  • ETH Zurich, KOF Swiss Economic Institute

Entstanden

  • 2006

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