ECB Communication and its Impact on Financial Markets

72 Pages Posted: 7 Oct 2024 Last revised: 7 May 2025

See all articles by Klodiana Istrefi

Klodiana Istrefi

Banque de France; Centre for Economic Policy Research (CEPR)

Florens Odendahl

Banco de España

Giulia Sestieri

Banque de France

Multiple version iconThere are 2 versions of this paper

Date Written: April 15, 2025

Abstract

This paper introduces the Euro Area Communication Event-Study Database (EA-CED), a new dataset tracking intraday financial market movements around 304 ECB Governing Council meetings (ECBGC) and 5,100 inter-meeting communication (IMC) events by GC members, primarily in the form of speeches and interviews. We document that IMC events are associated with significant market movements often comparable to, or larger than, those following ECB policy announcements, particularly for longer maturity yields. Importantly, these effects are not limited to communication from the ECB President but also from other Governing Council members. Like ECBGC announcements, IMC events convey multidimensional information: three structurally identified factors explain a large share of the yield curve movements around IMC surprises. Finally, we show that IMC events provide relevant information for identifying the effects of monetary policy shocks on euro area output and inflation in a Bayesian Vector Autoregression model.

Keywords: Monetary policy, ECB; Communication, Financial markets, Euro area

JEL Classification: E50, E61, E52, E58

Suggested Citation

Istrefi, Klodiana and Odendahl, Florens and Sestieri, Giulia, ECB Communication and its Impact on Financial Markets (April 15, 2025). Banco de Espana Working Paper No. 2431, Available at SSRN: https://ssrn.com/abstract=4977713 or http://dx.doi.org/10.2139/ssrn.4977713

Klodiana Istrefi

Banque de France ( email )

Paris
France

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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