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

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.