Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility

During the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE). Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this...

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Main Author: Adrian Cantemir Călin
Format: Article
Language:English
Published: Editura ASE Bucuresti 2015-06-01
Series:Romanian Economic Journal
Subjects:
Online Access:http://www.rejournal.eu/article/eloquence-key-%E2%80%93-impact-monetary-policy-speeches-exchange-rate-volatility
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spelling doaj-918f0d27bc4c4ac1bdeca00acb4cb7222020-11-24T23:25:30ZengEditura ASE BucurestiRomanian Economic Journal1454-42962286-20562015-06-01XVIII56318Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate VolatilityAdrian Cantemir Călin 0Institute for Economic Forecasting, Romanian Academy, e-mail: cantemircalin@ipe.roDuring the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE). Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this context, this paper focuses on a wide set of public speeches delivered by officials belonging to the most relevant central banks. These statements cover a large pallet of topics including areas such as QE, tapering, financial stability, unemployment or interest rates. The aim of this study is to investigate the impact that these speeches have on the volatility of exchange rates. For this purpose, the methodology relies on an econometric event study that incorporates three volatility models and intraday five-minute frequencies. The results indicate the fact that public statements have a clear, evident, significant and robust impact on the observed assets.http://www.rejournal.eu/article/eloquence-key-%E2%80%93-impact-monetary-policy-speeches-exchange-rate-volatilitymonetary policycentral banksvolatilityexchange rateofficial speeches
collection DOAJ
language English
format Article
sources DOAJ
author Adrian Cantemir Călin
spellingShingle Adrian Cantemir Călin
Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility
Romanian Economic Journal
monetary policy
central banks
volatility
exchange rate
official speeches
author_facet Adrian Cantemir Călin
author_sort Adrian Cantemir Călin
title Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility
title_short Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility
title_full Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility
title_fullStr Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility
title_full_unstemmed Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility
title_sort eloquence is the key – the impact of monetary policy speeches on exchange rate volatility
publisher Editura ASE Bucuresti
series Romanian Economic Journal
issn 1454-4296
2286-2056
publishDate 2015-06-01
description During the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE). Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this context, this paper focuses on a wide set of public speeches delivered by officials belonging to the most relevant central banks. These statements cover a large pallet of topics including areas such as QE, tapering, financial stability, unemployment or interest rates. The aim of this study is to investigate the impact that these speeches have on the volatility of exchange rates. For this purpose, the methodology relies on an econometric event study that incorporates three volatility models and intraday five-minute frequencies. The results indicate the fact that public statements have a clear, evident, significant and robust impact on the observed assets.
topic monetary policy
central banks
volatility
exchange rate
official speeches
url http://www.rejournal.eu/article/eloquence-key-%E2%80%93-impact-monetary-policy-speeches-exchange-rate-volatility
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