Tracking ECB’s Communication: Perspectives and Implications for Financial Markets

76 Pages Posted: 22 Mar 2021

See all articles by Roberta Fortes

Roberta Fortes

Université Panthéon Sorbonne Paris 1

Théo Le Guenedal

CREST-ENSAE; Amundi Institute

Date Written: Jannuary 4, 2021


This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques. We show the evolution of discourse over time and capture the main themes of interest for the central bank that go beyond its traditional mandate of maintaining price stability, enlightening main concerns and themes of discussion among board members. We also built sentiment signals compatible with any form of language, both formal and informal, an important step as the ECB aims to enhance communication with non-expert audiences. In a second step, we measure the impact of the ECB’s communication on the EUR/USD exchange rate. We found that our quantitative series, both topics and sentiment, improve financial-linked models consistently in all periods analyzed (2.5% on average). Meaningful signals comprise a broad range of subjects and vary in time. This suggests that overall ECB’s talk matters for asset prices, including themes not directly related to monetary policy. This result is particularly important in a context in which the ECB, as well as other major central banks, are moving towards integrating issues closer to the society into their scope of action, implying that subjects, which were considered peripheral, may become central. This emphasizes the importance for markets to effectively track central banks’ communication to improve investment processes.

Keywords: Quantitative trading, Central Bank, Fixed Income, Foreign Exchange, Text mining

JEL Classification: C38, C63, E44, F31, G12

Suggested Citation

Fortes, Roberta and Le Guenedal, Théo, Tracking ECB’s Communication: Perspectives and Implications for Financial Markets (Jannuary 4, 2021). Available at SSRN: or

Roberta Fortes (Contact Author)

Université Panthéon Sorbonne Paris 1 ( email )


Théo Le Guenedal

CREST-ENSAE ( email )


Amundi Institute ( email )

90 Boulevard Pasteur
Paris, 75015

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics