In this paper, we study the effect of European Central Bank (ECB) communication on interest rates of different maturities. More precisely, we aim at testing whether the statement made during the press conference that follows the announcement of the ECB’s decision about the main refinancing rate, for its part, has an impact on interest rates. To do so, we are going to look whether the tone of the ECB’s statement (which we are going to codify) or the change in the tone from the previous statement explains changes in the Euro zone’s short- and long-term interest rates. We briefly review, in Section 2, empirical studies on central bank.
