Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements

DNB Working Paper No. 33-2005

23 Pages Posted: 6 May 2005

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 2005

Abstract

This paper studies the effects of verbal interventions by European central bankers on high-frequency euro-dollar exchange rates. We find that ECB verbal interventions have had only small and short-lived effects.

Verbal interventions which are reported in news report headlines are more likely to be successful, whereas verbal interventions on days with releases of macroeconomic data are less successful. There is no difference in the effects of comments by members of the ECB Executive Board and presidents of national central banks.

Keywords: Verbal intervention, high-frequency exchange rates, European Central Bank, sign test

JEL Classification: E58, F31, C14

Suggested Citation

Jansen, David-Jan and de Haan, Jakob, Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements (April 2005). DNB Working Paper No. 33-2005, Available at SSRN: https://ssrn.com/abstract=714881 or http://dx.doi.org/10.2139/ssrn.714881

David-Jan Jansen (Contact Author)

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

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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