Policy words and policy deeds: the ECB and the euro
研究欧洲央行沟通活动对欧元兑美元汇率和利率的日常影响，发现利率变动比央行口头表态对汇率影响更大，且以往研究可能因新闻度量过于笼统而高估其效果。
Abstract This paper examines the role of the European Central Bank (ECB) communication activities on daily eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognizes the joint determination of both the levels and volatilities of these variables. We also consider more traditional estimation strategies as a test of the robustness of our main results. We introduce a new indicator of ECB communication policies that focuses on what the ECB says about the future economic outlook for the euro area along five different economic dimensions. The impact of the ECB communication policies is more apparent in the time‐series framework than in the heteroskedasticity estimator approach. Time‐series estimates reveal that interest rate changes generally have a much larger impact on exchange rate movements, and their volatility, than do ECB verbal pronouncements. Previous studies that conclude that news effects are significant at the daily frequency may have reached such a conclusion because the measurement of news was too highly aggregated. The endogeneity of the exchange rate–interest rate relationship is more apparent when the proxy for monetary policy is the euro area–US differential than when any other proxy for monetary policy is employed. Copyright © 2007 John Wiley & Sons, Ltd.