Central Bank Communication and Financial Market Comovements in the Euro Area

  • Pavel Gertler
  • Roman HorváthEmail author
  • Júlia Jonášová
Research Article


We examine whether unscheduled communication of members of the European Central Bank’s (ECB) Governing Council affects financial market comovements. To assess comovements, we employ well-defined measures of stock market and government bond yield coexceedances, i.e., the measures of whether markets jointly decrease or increase and by how much. We use the daily data from 2008 to 2014 for the four largest euro area countries, Germany, France, Italy and Spain, in a quantile regression framework and control for persistence in coexceedances and a comprehensive set of relevant factors capturing returns and volatility in various segments of financial markets. We find that central bank communication often contributes to greater coexceedances but only when there are extreme events in the financial markets. The results also suggest that markets perceive the ECB’s communication as a euro area-wide shock, but propagation of this shock depends on the financial (in)stability of individual euro area countries.


Central bank communication Financial market comovements Quantile regression 

JEL Classification

E52 E58 



We thank two anonymous referees, Ansgar Belke, Michal Hlavacek, Stefan Lyocsa and Jakub Seidler for their helpful comments. The views in this paper do not represent the views of the National Bank of Slovakia. Horvath appreciate the support of the Grant Agency of the Czech Republic, no. 19-15650S. Online Appendix is available at

Supplementary material

11079_2019_9561_MOESM1_ESM.docx (253 kb)
ESM 1 (DOCX 252 kb)


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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  • Pavel Gertler
    • 1
  • Roman Horváth
    • 2
    • 3
    Email author
  • Júlia Jonášová
    • 2
  1. 1.National Bank of SlovakiaBratislavaSlovakia
  2. 2.Institute of Economic Studies, Faculty of Social SciencesCharles UniversityPragueCzech Republic
  3. 3.University of Ss. Cyril and Methodius in TrnavaTrnavaSlovakia

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