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Providing Content for ECB Announcements

digital Providing Content for ECB Announcements
Article
journal RIVISTA INTERNAZIONALE DI SCIENZE SOCIALI
issue RIVISTA INTERNAZIONALE DI SCIENZE SOCIALI - 2007 - 4
title Providing Content for ECB Announcements
author
publisher Vita e Pensiero
format Article | Pdf
online since 04-2007
issn 0035-676X (print) | 1827-7918 (digital)
€ 6.00

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This paper proposes a new objective methodology for analysing the verbatim transcripts of central bank announcements. I apply a statistical method based on locally recurring word patterns, the descending hierarchical classification algorithm, to identify the characteristic themes of the monthly press conferences of the President of the ECB. The econometric evidence suggests that these press conferences convey information to the public. Moreover, the reaction of market rates strongly depends on the principal themes of the statement.

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