The effect of political communication on European financial markets during the sovereign debt crisis

被引：9

作者：

Conrad, Christian ^{[1
]}

Zumbach, Klaus Ulrich ^{[1
]}

机构：

[1] Heidelberg Univ, D-69115 Heidelberg, Germany

来源：

JOURNAL OF EMPIRICAL FINANCE | 2016年 / 39卷

关键词：

Political statements; High-frequency response; Austerity measures; Joint liability; EXCHANGE-RATE; BOND SPREADS; NEWS;

D O I：

10.1016/j.jempfin.2016.01.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We quantify all statements by major European politicians reported by Reuters during the August 2011 to December 2011 period and show that political communication significantly affects the EUR-USD exchange rate as well as European stock and bond markets. Communication with respect to Italy induces the strongest market reactions. Financial markets consider the German bond market a safe haven. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：209 / 214

页数：6

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