ECB communication and its impact on financial markets

Abstract

This paper presents the Euro Area Communication Event-Study Database (EA-CED), a new dataset that tracks financial market movements around ECB Governing Council meetings (GC) and inter-meeting communication (IMC). Covering the period from 1999 to 2024, the EA-CED contains intraday changes in euro area financial variables around the time of 304 ECB GC policy announcements and 4,400 IMC events, consisting mainly of speeches and interviews. We document several new empirical findings on the impact of IMC on financial markets. First, we show that many IMC events are associated with significant market movements, often of similar or larger magnitude than those associated with ECB policy announcements, particularly for yields at longer maturities. Significant effects are not limited to communication from the ECB’s President but extend to other members of the Governing Council. Second, the importance of IMC varies over time, peaking around tightening cycles, particularly in 2022-2023. Third, like ECB GC announcements, IMC events convey multi-dimensional information and lead to surprises regarding the path of monetary policy and the state of the economy.