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

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

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Year of publication:	2013
Authors:	Conrad, Christian ; Lamla, Michael J.
Publisher:	[S.l.] : SSRN
Subject:	US-Dollar \| US dollar \| Wechselkurs \| Exchange rate \| EU-Staaten \| EU countries \| Euro \| Politische Kommunikation \| Political communication \| Volatilität \| Volatility \| Geldpolitik \| Monetary policy \| ARCH-Modell \| ARCH model

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