ECB communication and its impact on financial markets

Series: Working Papers. 2431.

Author: Klodiana Istrefi, Florens Odendahl and Giulia Sestieri

ECB, Eurosystem

• Monetary policy
• Governance
• Economic and Monetary Union

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ECB communication and its impact on financial markets (1 MB)

Abstract

This paper introduces the Euro Area Communication Event-Study Database (EA-CED), a new dataset tracking intraday financial market movements around 304 ECB Governing Council meetings (ECBGC) and 5,100 inter-meeting communication (IMC) events by GC members, primarily in the form of speeches and interviews. We document that IMC events are associated with significant market movements often comparable to, or larger than, those following ECB policy announcements, particularly for longer maturity yields. Importantly, these effects are not limited to communication from the ECB President but also from other Governing Council members. Like ECBGC announcements, IMC events convey multidimensional information: three structurally identified factors explain a large share of the yield curve movements around IMC surprises. Finally, we show that IMC events provide relevant information for identifying the effects of monetary policy shocks on euro area output and inflation in a Bayesian Vector Autoregression model.

This paper has been corrected and was republished on 19 May 2025.