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Home | Events | Dovish Coos or Hawkish Screech? Identifying ECB Communication Shocks and Their Macroeconomic Effects
Seminar

Dovish Coos or Hawkish Screech? Identifying ECB Communication Shocks and Their Macroeconomic Effects

  • Series
    Research on Monday
  • Speaker(s)
    Kerstin Bernoth (DIW Berlin, Germany)
  • Field
    Macroeconomics
  • Location
    Erasmus University Rotterdam, Campus Woudestein, Langeveld 2.19
    Rotterdam
  • Date and time

    September 21, 2026
    16:00 - 17:00

Abstract

This paper identifies communication shocks for the European Central Bank (ECB) and quantifies their macroeconomic effects. Using a transformer-based language model fine-tuned on ECB communications, we construct a continuous measure of the monetary policy stance conveyed by monetary policy statements (2003-2025) and isolate its unexpected component by purging its systematic dependence on macro-financial fundamentals. Bayesian VAR estimates show that hawkish communication shocks lead to a short-lived increase in industrial production and a persistent rise in the price level, while increasing systemic financial stress. These effects differ markedly from those of conventional monetary policy and central bank information shocks, suggesting that ECB communication constitutes a distinct dimension of monetary policy transmission.