THE EFFECTS OF MONETARY POLICY COMMUNICATION EVENTS ON EURO AREA FINANCIAL MARKETS
Prof. Dr. Tadas Šarapovas (ISM University of Management and Economics, Social Sciences, Economics, S 004) supervised the dissertation from 2021 to 2025.
Consultant: Dr. Linas Jurkšas (Vilnius University, Social Sciences, Economics, S 004).
The doctoral dissertation will be defended at the Scientific Council of Economics at ISM University of Management and Economics on February 18, 2026, at 11 A.M. in ISM room 210.
Summary:
This dissertation examines the role of monetary policy communication in shaping financial market dynamics. It is based on four peer-reviewed scientific articles, which together analyze different forms of monetary policy communication, their content, and their impact on high-frequency financial market indicators. The work develops methods combining lexicon-based sentiment analysis, topic modeling, and large language models to quantitatively assess the content of European Central Bank (ECB) communication. Regression-based identification strategies, using carefully selected time windows and control variables, allow the impact of communication on financial market variables to be assessed. The results show that, while press conferences remain the most influential communication channel, irregular and ad hoc communication events – such as speeches or interviews – also affect markets. Sentiment and topic indicators accurately reflect the monetary policy stance and allow for the prediction of changes in the stance over time. Furthermore, the results highlight the heterogeneity of market reactions across financial instruments, durations, countries, speakers, and communication topics. The scientific contribution of the dissertation includes a systematic assessment of irregular monetary policy communication, methodological innovations in sentiment and topic analysis, and robust high-frequency regression methods for identifying the impact of communication.
Defence council:
Chairperson:
Prof. Dr. Valdonė Darškuvienė (ISM University of Management and Economics, Social Sciences, Economics – S 004).
Members:
Prof. Dr. Rytis Krušinskas (Kaunas University of Technology, Social Sciences, Economics, S 004)
Prof. Dr. Renata Legenzova (Vytautas Magnus University, Social Sciences, Economics, S 004)
Prof. Dr. Matthieu Picault (IÉSEG School of Management, France, Social Sciences, Economics, S 004)
Prof. Dr. Aras Zirgulis (ISM University of Management and Economics, Social Sciences, Economics, S 004).
