On the consistency and effectiveness of central bank communication: Evidence from the ECB

In this paper we analyse the introductory statement of the ECB President in his monthly press conference held on Governing Council meeting days. We provide a glossary that translates the qualitative information of the press conferences into an ordered scale. We find that the predictive ability of these statements is similar to that implied by market-based measures of monetary policy expectations. Moreover, ECB words provide complementary, rather than substitutable, information with respect to macroeconomic variables. Finally, we show that market expectations react to the unexpected component of the information released by the ECB, after controlling for the monetary policy shock.