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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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 |
work_keys_str_mv |
AT adriancantemircalin eloquenceisthekeytheimpactofmonetarypolicyspeechesonexchangeratevolatility |
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1725557160808546304 |