The Real-Time Impact of ECB Press Conferences on Financial Markets

60 Pages Posted: 16 Aug 2019

See all articles by Maxim Ulrich

Maxim Ulrich

Karlsruhe Institute of Technology

Elmar Jakobs

Karlsruhe Institute of Technology

Richard Tran

Karlsruhe Institute of Technology

Date Written: August 13, 2019

Abstract

We present a new methodology to trace the information flow of communication events: Using the captions of press conference webcasts and textual analysis tools we fully automatically create timestamps for the different information content which can then be used to study the respective real-time impact on financial markets. Applying our approach to the press conferences of the European Central Bank we find that the ECB’s announcements of non-standard monetary policy measures first further increased the pre-ECB drift (as documented by Ulrich et al., 2017) by 20% before equity prices start to drop. Over 50% of this fall is realized during the ECB’s economic analysis, partly due to information about the real economy and partly due to inflation news. We relate the former to news about the course of the European sovereign debt crisis. The results are especially pronounced for the banking and insurance sector as well as the GIIPS countries in our sample.

Keywords: information flow, central bank communication, announcement returns, euro crisis, textual analysis

JEL Classification: G01, G14, E52, E58

Suggested Citation

Ulrich, Maxim and Jakobs, Elmar and Tran, Richard, The Real-Time Impact of ECB Press Conferences on Financial Markets (August 13, 2019). Available at SSRN: https://ssrn.com/abstract=3436852 or http://dx.doi.org/10.2139/ssrn.3436852

Maxim Ulrich

Karlsruhe Institute of Technology ( email )

Bluecherstrasse 17
Karlsruhe, Baden Württemberg 76131
Germany
+4972160844270 (Phone)

HOME PAGE: http://risk.fbv.kit.edu/c-ram

Elmar Jakobs (Contact Author)

Karlsruhe Institute of Technology ( email )

Kaiserstraße 12
Karlsruhe, Baden Württemberg 76131
Germany

Richard Tran

Karlsruhe Institute of Technology ( email )

Kaiserstraße 12
Karlsruhe, Baden Württemberg 76131
Germany

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