ECB Monetary Policy Communication: An Event Study on Intraday Returns and Volatility in the EUR/USD FX Market

We ask whether ECB communication outside monetary policy meeting days moves the EUR/USD exchange rate within minutes in the unconventional and low-rate period from 2008 to 2016. Using one-minute EUR/USD data and a Reuters-based corpus of 1868 inter-meeting statements coded as dovish, neutral or hawkish, we apply a high-frequency event study with strict exclusion windows for macro and central bank news, time-of-day-matched controls and Monte Carlo resampling. We also examine splits by President, conventional versus unconventional topics, Purdah period, and before versus during the zero lower bound. Across the full sample and all splits, we find no systematic intraday drift in EUR/USD: cumulative abnormal returns stay within a few basis points and scattered significant minutes do not persist. Realised variance, used as a measure of short-run volatility, shows a modest and temporary compression after statements, confirmed in a matched-difference design. We interpret this as a small short-term reduction in uncertainty rather than a large information shock. Our results are conditional high-frequency associations rather than structural causal effects, and they are specific to the unconventional and low-rate 2008–2016 regime. The main implication is that inter-meeting ECB communication in this period primarily shaped short-run uncertainty rather than producing systematic intraday EUR/USD drift.