Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/50343 
Year of Publication: 
2007
Series/Report no.: 
KOF Working Papers No. 174
Publisher: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
Abstract: 
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the interest rate decision, the ECB's introductory statement and the question and answer session. Surprise interest rate changes explain the movements in the exchange rate immediately after press release. During the introductory statement, communication with respect to future price developments is most relevant and has two important functions: (i) it explains the previously announced decision and (ii) it serves as a guide for the future path of monetary policy.
Subjects: 
European Central Bank
monetary policy announcements
communication
exchange rate
expectations
long memory GARCH processes
JEL: 
C22
E52
E58
F31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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