Essays on the European Central Bank's communication

Marozzi, Armando (2022) Essays on the European Central Bank's communication. PhD thesis, London School of Economics and Political Science.

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Abstract

This thesis studies the communication of the European Central Bank (ECB) from different angles. In particular, the first essay analyses the effects of the ECB’s fiscal communication on the macroeconomy of the euro area. The findings are threefold: first, a fiscally hawkish communication significantly lowers output and inflation; second, industrial production and price levels would have been higher during the Great Recession and the sovereign-debt crisis had the ECB held constant its fiscal communication; third, government bond purchases are inversely related to the ECB’s “fiscal stance”, that is, the ECB becomes more fiscally hawkish after a monetary policy easing. The second essay proposes to nowcast the ECB’s press conferences exploiting the flow of conventional and textual data that become available between two consecutive press conferences. In out-of-sample nowcasting experiments, the model provides an accurate tracking of the ECB monetary policy stance and decisions. The inclusion of textual variables contributes significantly to the gradual improvement of the model performance. The third essay investigates the effectiveness of monetary policy conditional on the level of agreement in the ECB Governing Council. The results illustrate significant asymmetry: while expansionary monetary policy propagates as documented in the literature in the scenario of high agreement, the effects of monetary policy accommodation vanish when disagreement is high.

Item Type:	Thesis (PhD)
Additional Information:	© 2022 Armando Marozzi
Library of Congress subject classification:	H Social Sciences > HG Finance J Political Science > JN Political institutions (Europe)
Sets:	Departments > International Relations
URI:	http://etheses.lse.ac.uk/id/eprint/4453

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