Providing Content for ECB Announcements

digital

Articolo

Rivista

RIVISTA INTERNAZIONALE DI SCIENZE SOCIALI

Fascicolo

RIVISTA INTERNAZIONALE DI SCIENZE SOCIALI - 2007 - 4

Titolo

Providing Content for ECB Announcements

Autore

Carlo Rosa

Editore

Vita e Pensiero

Formato

Articolo |

Pdf

Online da

04-2007

Issn

0035-676X (stampa) | 1827-7918 (digitale)

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Descrizione Commenti dei lettori

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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