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The High‐Frequency Response of the EUR‐USD Exchange Rate to ECB Communication
Author(s) -
CONRAD CHRISTIAN,
LAMLA MICHAEL J.
Publication year - 2010
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/j.1538-4616.2010.00346.x
Subject(s) - exchange rate , price of stability , statement (logic) , monetary policy , monetary economics , economics , construct (python library) , business , political science , computer science , law , programming language
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.