ECB Communication and its Impact on Financial Markets

Abstract

This paper introduces the Euro Area Communication Event-Study Database (EA-CED), a new dataset tracking financial market movements around the ECB Governing Council meetings (GC) and inter-meeting communication (IMC). Covering the period from 1999 to 2024, the EA-CED contains intraday changes in euro area financial variables around 304 ECB GC policy announcements and around 4,400 IMC events, the latter being primarily speeches and interviews. We document several new empirical findings regarding the impact of IMC on financial markets. First, we show that many IMC events are associated with significant market movements, often of similar or larger magnitude than ECB policy announcements, particularly for yields at longer maturities. Significant effects are not limited to communication from the ECB president but extend to other members of the Governing Council. Second, the importance of IMC varies over time, reaching its peak around tightening cycles, particularly during 2022-2023. Third, similarly to ECB GC announcements, IMC events convey multidimensional information and lead to surprises related to the path of monetary policy and the state of the economy. 

Keywords: Monetary Policy, ECB, Communication, Financial Markets, Event Study

JEL Classification: E03, E50, E61