This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase … Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as … whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive …

This paper analyzes European financial markets' comprehension and interpretation of ECB communication signals. By …, we find that communication affects the term structure of interest rates in the medium run over a horizon between five …

around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease on these …

communication leads to greater asset price volatility than simple and clear communication. Central banks that want to avoid …) communication on asset prices (stock prices, gilt yields and interest rate futures) from 1999-2023. We extend MPC communication to … generating volatility in financial markets should keep it simple. Our results suggest that by ignoring the type and style of …

communication leads to greater asset price volatility than simple and clear communication. Central banks that want to avoid …) communication on asset prices (stock prices, gilt yields and interest rate futures) from 1999-2023. We extend MPC communication to … generating volatility in financial markets should keep it simple. Our results suggest that by ignoring the type and style of …

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central … composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy …

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …

We present a new methodology to trace the information flow of communication events: Using the captions of press …