Narratives in ECB Press Conferences: A Textual Analysis
BIG-DATA-BASED ECONOMIC INSIGHTS
Our paper quantifies ECB communication on the Governing Council meeting days. The key questions we address are as follows: What are the main communication patterns in the ECB press conference? Do shifts in communication patterns affect stock market volatility on the Governing Council meeting days?
Key Messages
- Topic analysis of the European Central Bank (ECB) press conferences reveals meaningful communication patterns
- Similar press conferences are clustered in time
- The revisions to the ECB narrative accompany the changes in policy direction
- Market volatility increases when the ECB substantially updates its wording in the monetary analysis section as compared to keeping it rather static relative to the previous period
- Shifts in ECB communication introduce incremental volatility above and beyond that created by a change in policy stance
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Citation
Justyna Klejdysz: “Narratives in ECB Press Conferences: A Textual Analysis,” EconPol Forum 24 (1), CESifo, Munich, 2023.