Throughout the paper all dates are reported as CET.
The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication
Version of Record online: 6 SEP 2010
© 2010 The Ohio State University
Journal of Money, Credit and Banking
Volume 42, Issue 7, pages 1391–1417, October 2010
How to Cite
CONRAD, C. and LAMLA, M. J. (2010), The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication. Journal of Money, Credit and Banking, 42: 1391–1417. doi: 10.1111/j.1538-4616.2010.00346.x
For insightful suggestions and constructive comments we thank Kenneth D. West, the editor, and two anonymous referees. We also thank Helge Berger, Thomas Eife, Switgard Feuerstein, Enno Mammen, Thomas Maag, Pierre-Guillaume Méon, Heiner Mikosch, Sarah M. Lein, Jan-Egbert Sturm, and the participants of the 22nd Annual Meeting of the European Economic Association (Budapest, Hungary, 2007) for their helpful comments and suggestions. The usual disclaimer applies.
- Issue online: 6 SEP 2010
- Version of Record online: 6 SEP 2010
- Received November 21, 2007; and accepted in revised form April 23, 2010.
- central bank communication;
- exchange rate;
- long memory GARCH processes;
- monetary policy announcements;
- Taylor rules
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.