CEU Electronic Theses and Dissertations, 2020
| Author | Skok, Yevhenii |
|---|---|
| Title | Central Bank Ad-Hoc Communication and Financial Markets: Evidence from High-Frequency Data |
| Summary | ABSTRACT This study investigates the immediate effects of ad-hoc communication of the European Central Bank Governing Council members on financial markets. I use high frequency (one-minute) financial data series and communication data, which contains unscheduled public statements (media interviews, speeches, and discussions) of all members made from January 2008 to May 2016. Least square regressions reveal that this communication affects interest rates, the stock market, and exchange rates. The strongest immediate response of financial markets, in general, comes about an hour after a communication. Meanwhile, the timing of the market adjustment varies across financial markets. In particular, the foreign exchange market overall adjusts earlier than interest rates and the stock market. |
| Supervisor | Professor Kónya István |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2020/skok_yevhenii.pdf |
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