Statements of ECB Officials and Their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate
Statements of ECB Officials and Their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate
复制标题
欧洲央行官员的声明及其对欧元兑美元汇率水平和波动性的影响
DOI：
10.2139/ssrn.396783
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发表时间：
2003
影响因子：
1.2
通讯作者：
J. de Haan
中科院分区：
文献类型：
--
作者：
D. Jansen;J. de Haan
本文研究了欧洲货币联盟头几年欧元兑美元汇率的平均值和波动率对欧洲央行官员表态的反应。我们关注有关货币政策和欧元(潜在)强势的声明。我们发现，德国央行主导了新闻报道。我们的结论是，欧洲央行的声明主要影响了波动性。在某些情况下，声明会对欧元兑美元汇率水平产生影响。鼓吹欧元的努力并未取得成功。也有证据表明，人们对新闻的反应不对称。
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news coverage. We conclude that ECB statements have mainly influenced volatility. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to ‘talk up’ the euro have not been successful. There is also evidence of asymmetric reactions to news.