The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis
Journal of Empirical Finance, Forthcoming
12 Pages Posted: 14 Dec 2012 Last revised: 3 Jan 2017
Date Written: December 15, 2015
We quantify all statements by major European politicians reported by Reuters during the August 2011 to December 2011 period and show that political communication significantly affects European stock and bond markets as well as the EURUSD exchange rate. Communication with respect to Italy induces the strongest market reactions. Financial markets consider the German bond market a safe haven.
Keywords: Political statements, high-frequency response, austerity measures, joint liability
JEL Classification: E43, E62, G01, G12, C20
Suggested Citation: Suggested Citation