Effects of the ECB’s communication on government bond spreads

•Press releases and interviews appear to be powerful communication tools to steer financial markets.•Speeches and blog contributions do not significantly affect government bond spreads.•Communication by the ECB’s chief economist P.R. Lane turns out to be particularly important to financial market pa...

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Bibliographic Details
Published in:Journal of international money and finance 2024-04, Vol.142, p.103041, Article 103041
Main Authors: Neugebauer, Frederik, Russnak, Jan, Zimmermann, Lilli, Camarero Garcia, Sebastian
Format: Article
Language:English
Subjects:
Central bank communication
ECB
Event study
PEPP
Sovereign yields
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Summary:•Press releases and interviews appear to be powerful communication tools to steer financial markets.•Speeches and blog contributions do not significantly affect government bond spreads.•Communication by the ECB’s chief economist P.R. Lane turns out to be particularly important to financial market participants. This paper investigates the financial market effects of the ECB’s communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches, and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive to both the communication channel and the communicating ECB Executive Board member.
ISSN:0261-5606
1873-0639
DOI:10.1016/j.jimonfin.2024.103041