The voice of monetary policy. Evidence from the European central Bank

We examine whether the vocal tone of European Central Bank press conferences affects financial markets through risk premia. Using neural networks trained on labelled speech data, we construct a voice tone index from audio recordings and estimate its dynamic effects via local projections. A more positive tone predicts a persistent decline in the implied volatility of the Euro Stoxx 50 index, higher equity valuations, and lower short-term yields. This joint response is consistent with a risk premium channel through which a confident tone compresses the price of risk rather than conveying news about the economic outlook.