The European Central Bank published a working paper that expands how euro area monetary policy shocks are identified by treating policymakers’ speeches as frequent policy events alongside Governing Council decisions. Using a new high-frequency event-study database, the authors find that speeches by ECB Executive Board members have statistically and economically significant effects on asset prices across maturities, with transmission to the real economy that closely mirrors that of formal policy announcements. The Euro Area Extended Monetary Policy Event-Study Database (EA-EMPD) extends the standard euro area event-study framework by covering all Executive Board speeches since the euro’s inception, increasing identifiable policy events from roughly 300 meetings to over 4,000. The database uses tick-by-tick market data and quote-level bid and ask submissions in the Overnight Index Swap (OIS) market to refine surprise measurement, including day-count adjustments to align short-rate surprises with the next meeting, a switch from Euro Overnight Index Average to the euro short-term rate from October 2019, and filters for out-of-hours speeches and overlapping macro releases with high Bloomberg alert relevance. In the empirical results, speeches are most strongly associated with forward-guidance-type movements at intermediate maturities, while Governing Council meetings remain the dominant driver of within-day yield variance on meeting days. For macro transmission, incorporating speech-based surprises strengthens instrument relevance, improves the precision of estimated impulse responses, and raises the share of real-economy variance attributed to monetary policy by up to fivefold, though the overall contribution remains modest. The EA-EMPD is provided as a supplement to the paper and is intended to be hosted by the European Central Bank with quarterly updates.
European Central Bank 2025-11-27
European Central Bank working paper introduces the EA-EMPD dataset and finds policymakers’ speeches move markets comparably to policy announcements
The European Central Bank introduced the Euro Area Extended Monetary Policy Event-Study Database (EA-EMPD), expanding the identification of euro area monetary policy shocks by including policymakers’ speeches. The database increases identifiable policy events and refines surprise measurement using high-frequency market data. Findings show that speeches by ECB Executive Board members significantly affect asset prices and enhance the precision of monetary policy transmission analysis.