Statements of ECB Officials and Their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate

31 Pages Posted: 23 Apr 2003

See all articles by David-Jan Jansen

David-Jan Jansen

De Nederlandsche Bank ; Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Jakob de Haan

University of Groningen - Faculty of Economics and Business; CESifo (Center for Economic Studies and Ifo Institute); De Nederlandsche Bank

Date Written: April 2003

Abstract

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news coverage. We conclude that ECB statements have mainly influenced volatility. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to "talk up" the euro have not been successful. There is also evidence of asymmetric reactions to news.

Keywords: ECB, Euro, Foreign Exchange, News Approach

JEL Classification: E50, F31

Suggested Citation

Jansen, David-Jan and de Haan, Jakob, Statements of ECB Officials and Their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate (April 2003). Available at SSRN: https://ssrn.com/abstract=396783 or http://dx.doi.org/10.2139/ssrn.396783

David-Jan Jansen

De Nederlandsche Bank ( email )

P.O. Box 98
1000 AB Amsterdam
Netherlands

HOME PAGE: http://sites.google.com/site/djansenresearch

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Jakob De Haan (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

PO Box 800
Groningen, 9700 AV
Netherlands
+31 0 50 3633706 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

De Nederlandsche Bank ( email )

P.O. Box 98
Amsterdam, 1000 AB
Netherlands

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