欧洲央行的沟通情绪:它们与经济环境和金融市场有何关系?

IF 3.3 Q1 BUSINESS, FINANCE
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引用次数: 0

摘要

在本文中,我们通过确定欧洲央行货币政策沟通的情绪及其与经济环境和金融市场的关系,对欧洲央行货币政策沟通的多个方面进行了研究。我们使用欧洲央行官方沟通活动(新闻发布会、账户和执行委员会演讲)的记录以及强调这些活动关键信息的媒体反应来量化沟通情绪。重要的是,我们为这两种沟通类型创建了独特的词典。我们发现,在 COVID-19 冲击期前后,所分析的沟通事件的情绪指数的整体趋势与欧元区货币政策立场的变化以及通货膨胀动态密切相关。沟通基调一般会在实际货币政策行动之前发生变化。通过回归分析,我们发现新闻发布会的情绪对银行股票价格(信息型冲击)有一些预期的、统计上显著的影响,并确定了执行董事会演讲对欧元区无风险利率的影响。欧元区成员国之间的分裂问题似乎并未受到欧洲央行沟通情绪的负面影响。不过,政策制定者应该意识到,其沟通活动的基调很可能会影响特定的金融市场。这些结果得到了各种稳健性检验的证实。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
ECB communication sentiments: How do they relate to the economic environment and financial markets?

In this paper we examine multiple dimensions of ECB monetary policy communication by identifying its sentiment and relation with the economic environment and financial markets. We quantify communication sentiment using transcripts from official ECB communication events – press conferences, accounts and Executive Board speeches – as well as media reactions that highlight the key messages of those events. Importantly, we create distinctive lexicons for both of those communication types. We find that the overall trends in the sentiment indices for the analysed communication events closely resemble the movements of monetary policy stance as well as inflation dynamics in the euro area, both before and after the COVID-19 shock period. The communication tone generally shifts in advance of actual monetary policy actions. Using regression analysis, we find some expected, statistically significant effects of press conference sentiment on bank stock prices (information-type shock) and identify the impact of Executive Board speeches on euro area risk-free rates. Fragmentation issues among euro area member states do not seem to be negatively affected by the sentiments of the ECB’s communication. Still, policy makers should be aware that the tone of their communication events is likely to affect particular financial markets. These results are confirmed by various robustness checks.

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来源期刊
CiteScore
6.20
自引率
2.60%
发文量
31
期刊介绍: Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.
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