ECB Communication and its Impact on Financial Markets
72 Pages Posted: 7 Oct 2024 Last revised: 7 May 2025
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ECB Communication and its Impact on Financial Markets
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: Suggested Citation