Effects of the ECB’s communication on government bond spreads
研究了欧洲央行关于疫情紧急购买计划的沟通对欧元区10国政府债券利差的影响，发现新闻稿和采访是有效工具，而演讲和博客作用不显著，且首席经济学家拉加德的沟通尤其重要。
• 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.