Talking heads: the effects of ECB statements on the euro-dollar exchange rate

David-Jan Jansen; Jakob De Haan

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Talking heads: the effects of ECB statements on the euro-dollar exchange rate

机译：会谈的负责人：欧洲央行声明对欧元兑美元汇率的影响

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This paper studies the reaction of the conditional mean and volatility of the euro-dollar exchange rate to statements by European Central Bank and national central bank officials. We focus on comments on monetary policy and the external value of the euro. We find that the Bundesbank has dominated the news coverage. We conclude that ECB statements have mainly influenced conditional volatility. In some cases there are effects of statements on the conditional mean of the euro-dollar exchange rate. Efforts to talk up the euro have generally not been successful. There is also evidence of asymmetric reactions to news.

机译：本文研究了欧元兑美元汇率的条件均值和波幅对欧洲中央银行和国家中央银行官员的声明的反应。我们专注于对货币政策和欧元外部价值的评论。我们发现德国央行已经主导了新闻报道。我们得出结论，欧洲央行的声明主要影响了条件波动率。在某些情况下，声明会影响欧元兑美元汇率的条件均值。谈论欧元的努力通常没有成功。也有证据表明对新闻的反应不对称。

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来源
《Journal of International Money and Finance》 |2005年第2期|p.343-361|共19页
作者
David-Jan Jansen; Jakob De Haan;
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作者单位

De Nederlandsche Bank, Research Division, P.O. Box 98, 1000 AB Amsterdam, The Netherlands;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
ECB; exchange rates; Euro; news approach; EGARCH;

机译：ECB;汇率;欧元;新闻法;EGARCH;

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Talking heads: the effects of ECB statements on the euro-dollar exchange rate

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