摘要：This paper analyzes European financial markets’ comprehension and interpretation of ECB
communication signals. By applying a novel indicator developed by Berger et al. (2006), that
quantifies the contents of the ECB’s introductory statements, we find that communication
affects the term structure of interest rates in the medium run over a horizon between five
months to one year. Our results suggest that financial market agents expect the ECB to
prepare them for a change in interest rates well in advance. However, judging upon the
dynamics of the response, the exact timing of a decision is less foreseeable. Disentangling the
effects of ECB statements on prices, the real and the monetary sector, we provide evidence that
especially the ECB’s interpretation and forecasts of price developments represent important
news to financial market agents.
关键词：Central Bank Communication, Expectations, Term Structure of Interest Rates,
