Central Bank Communication and Financial Market Comovements in the Euro Area

Gertler, Pavel; Horváth, Roman; Jonášová, Júlia

doi:10.1007/s11079-019-09561-7

Cited by 4 publications

(3 citation statements)

References 27 publications

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“…Since 2015, a more homogeneous reaction to policy communication has been restored with the introduction of unconventional measures. Gertler et al (2020) show that ECB communication contributes to greater comovements in sovereign bond markets. However, such events as the March 12, 2020, ECB press conference indicate that sizable risk premium shock can also take place in such an environment.…”

Section: Communication Effects On Yields Across Duration and Countriesmentioning

confidence: 89%

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ECB monetary policy communication events: Do they move euro area yields?

Jurkšas,

Kaminskas,

Vasiliauskaitė

2024

Bulletin of Econ Res

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This study aims to determine and compare the impact of four different types of European Central Bank (ECB) monetary policy communication events on euro area sovereign yields on an intraday basis since 2014. Our paper distinguishes it from similar studies in that we analyze a broad range of ECB communication types. The results reveal that ECB decisions and press conferences have the most substantial intraday impact on normalized sovereign yields while the impact of speeches and accounts appears to be much weaker. Countries with the highest debt levels (such as Italy, Spain, and France) experienced the most robust changes in fiscal costs, while the period encompassing the economic shock induced by the Covid‐19 pandemic shows weaker effects.

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Section: Communication Effects On Yields Across Duration and Countriesmentioning

confidence: 89%

“…Gertler et al. (2020) show that ECB communication contributes to greater comovements in sovereign bond markets. However, such events as the March 12, 2020, ECB press conference indicate that sizable risk premium shock can also take place in such an environment.…”

Section: Literature Reviewmentioning

confidence: 99%

ECB monetary policy communication events: Do they move euro area yields?

Jurkšas,

Kaminskas,

Vasiliauskaitė

2024

Bulletin of Econ Res

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“…Huning (2017 finds that pessimism in Swiss National Bank press releases affects exchange rates, and documents a negative relationship between pessimism and medium-and long-term government bond yields. Gertler et al (2019) study four Eurozone countries and show that, when there are extreme financial market events, unscheduled communication of members of the ECB's Governing Council classed as hawkish or dovish may increase comovements in stocks and bonds, with the effect varying across countries. Ehrmann and Talmi (2019) demonstrate that, when controlling for content, consecutive Bank of Canada press releases on monetary policy for 2001 to 2015 that are less similar lead to higher volatility in bond yields.…”

Section: Prior Researchmentioning

confidence: 99%

Regulator Communication and Market Confidence in Difficult Times: Lessons From the Great Financial Crisis

Gower¹,

Meier²,

Shutes³

2019

EJEF

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Communication with financial markets is an important task carried out by financial market supervisory bodies. In times of crisis, this can contribute to spreading confidence and calming markets. In light of the 10th anniversary of the last financial crisis, we examine the effect the UK Financial Services Authority (FSA), as the financial market regulator during that period, had on market confidence. Our aim is to derive lessons to aid the current supervisor in potential future crises. Analyzing the period 2006-2009, we find that both more positivity and uncertainty in tone in communications could either reduce or increase stock market volatility, depending on the type of communication and communicator. Further analysis also shows distinct impacts on short-term and long-term market volatility. The findings highlight the importance of considering source and type of communication when decisions on who communicates with the market are made. These results can be of use for any regulatory authority that communicates with financial markets to increase effectiveness of their messages.

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The role of central bank communication in the long-term stock-bond correlations: Evidence from China

Wang,

Wang

2024

Finance Research Letters

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Central Bank Communication and Financial Market Comovements in the Euro Area

Cited by 4 publications

References 27 publications

ECB monetary policy communication events: Do they move euro area yields?

ECB monetary policy communication events: Do they move euro area yields?

Regulator Communication and Market Confidence in Difficult Times: Lessons From the Great Financial Crisis

The role of central bank communication in the long-term stock-bond correlations: Evidence from China

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