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The high-frequency response of the EUR-USD exchange rate to ECB communication

Conrad, C and Lamla, MJ (2010) 'The high-frequency response of the EUR-USD exchange rate to ECB communication.' Journal of Money, Credit and Banking, 42 (7). 1391 - 1417. ISSN 0022-2879

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Abstract

We investigate the impact of the European Central Bank's monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high frequency. Based on the method of Content Analysis, we construct communication indicators for the introductory statement and find that communication with respect to future price developments is most relevant. In response to statements about increasing risks to price stability the EUR appreciates on impact. To the contrary, communication about economic activity and monetary aggregates does not generate significant exchange rate reactions. © 2010 The Ohio State University.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Depositing User: Jo Wiltshire
Date Deposited: 18 Sep 2013 10:21
Last Modified: 17 Aug 2017 17:57
URI: http://repository.essex.ac.uk/id/eprint/7648

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