The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication

34 Pages Posted: 25 Sep 2007 Last revised: 9 May 2013

See all articles by Christian Conrad

Christian Conrad

Heidelberg University - Alfred Weber Institute for Economics; ETH Zürich - KOF Swiss Economic Institute

Michael J. Lamla

ETH Zurich - KOF Swiss Economic Institute; University of Essex

Date Written: September 1, 2007

Abstract

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.

Keywords: Central bank communication, exchange rate, expectations, long memory GARCH processes, monetary policy announcements, Taylor rules.

JEL Classification: C22, E52, E58, F31

Suggested Citation

Conrad, Christian and Lamla, Michael J. and Lamla, Michael J., The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication (September 1, 2007). KOF Working Paper No. 174, Journal of Money, Credit, and Banking, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1016924 or http://dx.doi.org/10.2139/ssrn.1016924

Christian Conrad (Contact Author)

Heidelberg University - Alfred Weber Institute for Economics ( email )

Grabengasse 14
Heidelberg, D-69117
Germany
+49 (06)221 543173 (Phone)

HOME PAGE: http://www.uni-heidelberg.de/conrad

ETH Zürich - KOF Swiss Economic Institute ( email )

Zurich
Switzerland

Michael J. Lamla

University of Essex ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

ETH Zurich - KOF Swiss Economic Institute ( email )

Zurich
Switzerland

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
303
Abstract Views
2,350
Rank
182,864
PlumX Metrics