Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50875
Authors: 
Lamla, Michael J.
Rupprecht, Sarah M.
Year of Publication: 
2006
Series/Report no.: 
Arbeitspapiere // Konjunkturforschungsstelle, Eidgenössische Technische Hochschule Zürich 135
Abstract: 
This paper analyzes European financial markets' comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantifies the contents of the ECB's introductory statements, we find that communication affects the term structure of interest rates in the medium run over a horizon between five months to one year. Our results suggest that financial market agents expect the ECB to prepare them for a change in interest rates well in advance. However, judging upon the dynamics of the response, the exact timing of a decision is less foreseeable. Disentangling the effects of ECB statements on prices, the real and the monetary sector, we provide evidence that especially the ECB's interpretation and forecasts of price developments represent important news to financial market agents.
Subjects: 
Central Bank Communication
Expectations
Term Structure of Interest Rates
Yield Curve
ECB
JEL: 
E43
E44
E58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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