XXV Edition

1-2 December 2016"

Measuring the Ecb’s Monetary Policy Stance: a "Media-Based Automated Approach"

Pesci Francesco, Unicredit

I present a new measure of the European Central Bank (ECB)’s monetary policy stance based on the content of articles published by major English-speaking written media in the days around meetings of the ECB Governing Council (GC). I study the relationship between the perception of the ECB’s stance and futures monetary policy decisions of the GC and I find it to be statistically significant. Moreover I present evidence that changes in the perception of the ECB’stance around GC meeting days are due to new information conveyed by the press conference of the ECB President rather than by the policy rate decision of the GC. Finally, I find that changes in the perception of the ECB’s stance affect market expectations of future policy rates.

Area: Monetary Policy and Central Banking

Keywords: Central Bank Communication, ECB Monetary Policy

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