Download presentation
Presentation is loading. Please wait.
1
ECB Statements and the Euro-Dollar Exchange Rate David-Jan Jansen, De Nederlandsche Bank (Research Department) & Jakob de Haan, Groningen University & CES-Ifo München
2
Outline of presentation IResearch questions IIMethodology IIIECB communication IVEffects on the Euro rate VConclusions
3
RESEARCH QUESTIONS Members of ECB Governing Council have made many statements: How have currency markets reacted? 1. Description of (part of) ECB communication 2. Study reaction of level and volatility of the Euro rate
4
METHODOLOGY: Interviews, speeches etc. Data source: Bloomberg 1 January 1999-17 May 2002 Daily data
5
METHODOLOGY (Cont.) News approach: if markets are efficient, prices will only change in response to unexpected news Statements modelled with dummies E-GARCH specification we allow statement dummies to have effect on level and volatility
6
METHODOLOGY (End) (1) Monetary policy ECB interest rates M3 GDP growth in the Euro area Inflation in the Euro area Pass-through (2) The Euro Expectations on the value of the Euro No target versus inflation Intervention
7
ECB COMMUNICATION (PERSONS)
8
ECB COMMUNICATION ( CONTENT 1 )
9
ECB COMMUNICATION ( CONTENT 2 )
10
RESULTS (1) GENERAL RESULT: FEW AND SMALL EFFECTS ON LEVEL MORE AND LARGE EFFECTS ON VOLATILITY
11
RESULTS (2)
12
Results (3): taking content of statements into account
13
CONCLUSIONS More impact on volatility than level Furthermore, Negative relationship interest rates/inflation and Euro Talking up the Euro not successful Bundesbank dominant in news coverage
Similar presentations
© 2025 SlidePlayer.com. Inc.
All rights reserved.