Talking heads: the effects of ECB statements on the euro–dollar exchange rate

Jansen, David‐Jan; Haan, Jakob de

doi:10.1016/j.jimonfin.2004.12.009

Cited by 142 publications

(81 citation statements)

References 31 publications

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“…The role of statements has been studied by several authors including Fatum and Hutchinson (2002) and Jansen and de Haan (2005). Basically, official statements can be regarded as a complementary or substitute tools for FX operations.…”

Section: Statementsmentioning

confidence: 99%

Intervention policy of the BoJ: A unified approach

Beine

Bernal²,

Gnabo

et al. 2009

Journal of Banking & Finance

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Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to capture their relationships and to characterize the prominent features of the various steps of the intervention decision. Our findings shed some light on the determinants of central bank interventions, on the so-called secrecy puzzle and on the identification of the variables influencing the detection of foreign exchange transactions by market traders. Financial support from the Belgian National Fund for Scientific Research (FRFC Program) is gratefully acknowledged. We would like to thank Cinzia Cirillo for computational assistance as well as Agnès Bénassy-Quéré for providing us with estimates of the fundamental exchange rate value. We are also grateful to Gabriele Galati for sharing his dataset that allows to make some cross-checks with our findings. We thank participants of seminars and conference held in Luxembourg, Paris Nanterres and at the Bank of Canada for comments and suggestions, and in particular G. Galati, C. De Souza and R. Miller. The usual disclaimer applies.

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Section: Statementsmentioning

confidence: 99%

Intervention policy of the BoJ: A unified approach

Beine

Bernal²,

Gnabo

et al. 2009

Journal of Banking & Finance

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“…Even rumors about actual interventions were shown by Dominguez and Panthaki (2007) to cause exchange rates to move. On the other hand, Jansen and de Haan (2005) showed that the effect of verbal statements by national central banks in the Eurozone was small and short-lived, in particular if combined with the release of macroeconomic news. Similarly, Siklos and Bohl (2008) find that actual interest rate moves had a larger impact on the exchange rate than verbal interventions, a feature hinting at deeds being more important than words.…”

Section: Introductionmentioning

confidence: 99%

The impact of macro news and central bank communication on emerging European forex markets

Égert

Kočenda

2014

Economic Systems

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in

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“…For instance, Conrad and Lamla (2010) examine the EUR-USD exchange rate response to ECB communications and find that communications about price developments is most related to movements in the exchange rate. Jansen and De Haan (2005) find that the conditional mean of the EUR-USD exchange rate is influenced by monetary policy decisions of the ECB.…”

Section: Literature Review and Hypothesesmentioning

confidence: 86%

Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements

2014

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We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate policy decisions by the Federal Open Market Committee (FOMC) and the European Central Bank (ECB). We confirm prior findings that VIX declines on FOMC meetings days. We present new findings that indicate that VDAX declines on FOMC meeting days, but is not related to ECB meeting days. VIX is unrelated to ECB meeting days. Taken collectively, our results indicate a prominent position for the FOMC in determining uncertainty levels both domestically and abroad relative to no relation between uncertainty levels and the ECB. JEL classification: G14, E44

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Talking heads: the effects of ECB statements on the euro–dollar exchange rate

Cited by 142 publications

References 31 publications

Intervention policy of the BoJ: A unified approach

Intervention policy of the BoJ: A unified approach

The impact of macro news and central bank communication on emerging European forex markets

Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements

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