ESTADO ACTUAL DEL ACUÍFERO

Note: The table shows the number of FSRs and speeches that are contained in the database, by country and by year.

Table 2: St ock market conditions a nd the occurrence of communications

# daysBench- markEvent daysDiffBench- markEvent daysDiffBench- markEvent daysDiffBench- markEvent daysDiff 10.046-0.113------0.046-0.135**------ 20.110-0.069------0.110-0.272***------ 30.173-0.087------0.173-0.522***------ 40.191-0.0284.8234.211**0.191-0.628***4.8237.820*** 50.161-0.0084.9054.361**0.161-0.797***4.9057.848*** 100.354-0.260*5.1254.676*0.354-1.400***5.1257.783*** 150.800-0.148**5.3084.867**0.800-1.476***5.3087.780*** 200.9490.1875.3094.9810.949-2.235***5.3097.766*** 251.3130.5385.3695.023*1.313-2.458***5.3697.808*** 301.3941.2725.4845.111*1.394-2.957***5.4847.811*** 351.7421.8215.5035.2171.742-2.967***5.5037.826*** 402.0712.2315.4745.2912.071-2.972***5.4747.803*** 452.5102.3295.6825.3592.510-3.224***5.6827.759*** 502.7612.7325.5475.3832.761-3.482***5.5477.757*** 552.4262.8545.6825.3942.426-3.801***5.6827.733*** 603.0733.4095.6005.4083.073-3.704***5.6007.744***

Financial Stability ReportsSpeeches & Interviews ReturnsStandard deviationReturnsStandard deviation Notes: The table shows cumulated stock market returns and the standard deviation of daily stock market returns preceding the communication events (in columns “Event days”) and for non-event days (in columns “Benchmark”). Results of mean comparison tests are given in the columns denoted by “Diff”. The different rows of the table relate to different time windows prior to the event, starting from a time window of 1 business day to a time window of 60 business days. Standard deviations are only calculated for time windows exceeding 3 business days. The non-event comparison figures are calculated for a sample where no communication event has occurred in the preceding 60 business days, and no communication event follows in the subsequent 60 business days. The sample is furthermore restricted to non-overlapping observations. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.

Table 3: St ock market conditions a nd the content of communications

# days(1) '-1'(2) '0'(3) '1'

(1) vs (2)

(1) vs (3)

(2) vs (3)(1) '-1'(2) '0'(3) '1'

(1) vs (2)

(1) vs (3)

(2) vs (3)(1) '-1'(2) '0'(3) '1'

(1) vs (2)

(1) vs (3)

(2) vs (3)(1) '-1'(2) '0'(3) '1'

(1) vs (2)

(1) vs (3)

(2) vs (3) 1-0.343-0.2080.186****-------------0.112-0.078-0.212------------ 2-0.225-0.2220.215-------------0.248-0.134-0.428------------ 3-0.186-0.3010.203-------------0.443-0.287-0.821------------ 4-0.157-0.0950.1514.9753.9023.806****-0.612-0.473-0.7948.3057.7147.475 5-0.022-0.1430.1325.1454.0053.985****-0.703-0.541-1.1308.2687.7837.524 10-0.948-0.0380.1565.4934.2324.352****-1.448-0.988-1.7517.7537.9567.643 15-0.765-0.4080.6555.8094.2844.559*****-1.245-1.059-2.0917.7748.0357.539 20-0.7440.0071.199*5.9164.4134.666*****-2.240-1.645-2.7997.7738.0927.445 25-0.4490.3771.5846.0144.3934.714*****-1.759-2.428-3.1317.7838.1237.529 300.2461.2642.2106.1574.4794.755******-2.613-2.451-3.7607.7558.1457.540 351.3491.8082.2616.3564.5544.805******-2.364-2.837-3.6487.7558.1717.559 401.2352.0993.2586.4784.6034.861******-2.136-2.504-4.1947.7208.1617.534 451.2392.1423.4936.5724.6654.910******-2.425-2.791-4.3767.7008.1067.478 500.9282.9144.1956.6024.7234.896******-2.797-3.081-4.5027.7368.0727.471 551.2482.9334.2376.6434.7214.892******-3.197-3.427-4.7237.6828.0647.461 602.1372.8975.0436.6544.7514.896******-2.755-3.438-4.8427.7018.0627.476

Speeches & InterviewsFinancial Stability Reports ReturnsStandard deviationReturnsStandard deviation Notes: The table shows cumulated stock market returns and the standard deviation of daily stock market returns preceding pessimistic (columns (1)), neutral (columns (2)) and optimistic communications (columns (3)). Results of tests for statistically significant differences are given in the columns (1) vs (2), (1) vs (3) and (2) vs (3). The different rows of the table relate to different time windows prior to the event, starting from a time window of 1 business day to a time window of 60 business days. Standard deviations are only calculated for time windows exceeding 3 business days. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.

Table 4: Effects of FSRs

# days 10.540.27***--------0.44'-0.33--------0.49-0.09--------0.530.20*-------- 20.540.33**--------0.46-0.54--------0.520.10--------0.550.14-------- 30.58**0.46***--------0.40''-0.75--------0.530.18--------0.550.20-------- 40.57**0.54***0.51-0.08*0.39'''-0.730.50-0.100.510.120.52-0.13**0.540.37**0.51-0.02 50.530.44**0.53-0.07*0.47-0.490.51-0.050.550.210.55-0.11*0.540.39*0.53-0.05 100.530.63**0.55**-0.08**0.50-0.400.48-0.040.48-0.380.55-0.080.56*0.84***0.61***-0.11** 150.57**0.64**0.52-0.06*0.44'-0.290.51-0.080.510.020.50-0.020.58**0.95***0.55*-0.08** 200.56**0.92**0.55**-0.05*0.50-0.010.56*-0.070.61**0.510.55-0.020.61***1.75***0.55-0.06** 250.57**1.27***0.56***-0.07**0.48-0.280.60**-0.13**0.59**0.690.55-0.040.62***2.18***0.54-0.05 300.58***1.39***0.56***-0.05*0.49-0.360.57**-0.11*0.59**0.90*0.57*-0.020.65***2.33***0.55-0.03 350.57**1.27***0.56***-0.05*0.510.110.56*-0.10*0.62***1.50**0.55-0.040.64***2.53***0.58**-0.01 400.531.21**0.55**-0.040.540.330.52-0.070.61**1.47**0.57*-0.030.59**2.63***0.56*-0.01 450.56**1.41***0.55**-0.05*0.520.170.56*-0.12**0.57*1.45**0.58**-0.040.63***2.86***0.52-0.01 500.56**1.60***0.56***-0.06**0.51-0.110.56*-0.12**0.59**1.46*0.58**-0.050.63***2.97***0.55-0.01 550.56**1.47**0.56**-0.05*0.550.310.58**-0.11**0.61**2.12**0.57*-0.040.66***3.09***0.520.00 600.55*1.21**0.55**-0.05*0.540.620.58**-0.11**0.61**2.66***0.55-0.050.63***2.87***0.520.00

non- parametric ReturnsStandard deviation non- parametric

parametricparametricnon- parametric parametricnon- parametric

parametricnon- parametric

parametric

Optimistic FSRs ReturnsStandard deviationReturnsStandard deviationJoint modelPessimistic FSRsNeutral FSRs ReturnsStandard deviation non- parametric parametricnon- parametric

parametricnon- parametric

parametric Notes: The table shows results of the test for communication effects. The first set of results (Returns, non-parametric) tests the share of cases in which 10ˆ, 0=>

¦

=+FSR

optimism it

k tkitIifε or 10ˆ, 0−=<

¦

=+FSR optimism it

k tkitIifε,for different time windows k in the rows of the table. The second column (Returns, parametric) shows the average size of the cumulated excess returns

¦¦

==+

N n

k tkntFSR

optimism ntI N10

, ˆ1 εand tests whether these are different from zero. The columns for “standard deviation” show the share of cases in which the standard deviation of excess returns over k days after the release of an FSR is smaller than the standard deviation during the k days prior to the release, i.e.1 1/1,/,ˆˆ=< −−−+c itDif kttikttiεεσσ(non-parametric), and their average difference (parametric), and tests these against 0.5 and 0, respectively. The second to fourth panel of the table repeats the exercise for FSRs that have been coded as 1, −=FSR optimism it,FSR I,0=

optimism it,FSR I and 1=

optimism itI, respectively. Standard deviations are only calculated for time windows exceeding 3 business days. ***, **, and * indicate statistical significance against the null hypothesis at the 1%, 5%, and 10% levels, respectively. ’’’, ’’, and ’ indicate statistical significance against the alternative hypothesis at the 1%, 5%, and 10% levels, respectively

Table 5: Effects of sp eeches and interviews

# days 10.45''-0.09--------0.540.12--------0.48-0.06--------0.45''-0.05-------- 20.48-0.10--------0.57**0.38**--------0.44''-0.27--------0.520.17-------- 30.49-0.10--------0.520.28--------0.46-0.59--------0.500.07-------- 40.510.110.47'0.020.510.070.50-0.18*0.45'-0.490.460.080.530.280.460.15' 50.53*0.260.480.010.49-0.020.53-0.19**0.45''-0.470.45'0.100.55*0.48*0.460.11 100.55***0.55**0.490.000.460.050.51-0.040.48-0.290.490.040.57**1.11***0.460.01 150.54*0.74**0.480.040.470.060.490.050.49-0.490.500.040.541.47***0.45'0.03 200.520.73**0.490.06'0.500.170.460.060.45'-0.700.530.050.541.54***0.470.07 250.55**1.04**0.500.06''0.470.040.480.040.45'-0.420.56**0.020.56**2.02***0.480.12'' 300.54**1.04**0.510.06''0.500.630.500.040.46-0.390.530.020.57***2.55***0.490.12'' 350.56***1.06**0.500.06'0.480.700.510.040.49-0.290.520.010.60***2.67***0.490.12'' 400.54*1.01*0.500.05'0.510.930.520.030.490.070.510.010.57***2.78***0.470.11'' 450.520.95*0.500.05'0.521.130.530.010.500.050.510.010.56**2.83***0.470.12'' 500.55***1.24**0.510.04'0.491.060.54*0.000.500.200.510.020.59***3.33***0.480.11'' 550.55**1.58**0.520.04'0.500.580.530.010.500.060.530.010.59***3.55***0.500.10'' 600.55**1.63**0.500.030.500.380.510.000.490.250.520.000.60***3.45***0.480.09' ReturnsStandard deviationReturnsStandard deviationJoint modelPessimistic speeches and interviewsNeutral speeches and interviewsOptimistic speeches and interviews non- parametric

parametricnon- parametric parametricReturnsStandard deviationReturnsStandard deviation non- parametric parametricnon- parametric parametricnon- parametric

parametricnon- parametric parametricnon- parametric

parametricnon- parametric

parametric Notes: See notes to Table 4, but all results relate to speeches and interviews rather than FSRs.

Table 6: Effects of FSRs – sample splits and robustness

A - Benchmark0.57**1.27***0.56***-0.07**0.48-0.280.60**-0.13**0.59**0.690.55-0.040.62***2.18***0.54-0.05 B - Sample splits 1. Country Group Advanced economies0.56*0.91**0.59***-0.11***0.46-0.310.62***-0.20***0.57*1.10**0.59**-0.09**0.58*1.62***0.55-0.03 Emerging economies0.62**2.27**0.480.050.55-0.140.500.200.64-0.830.400.170.69***3.21***0.51-0.07 2. Crisis versus pre-crisis Pre-crisis0.63***2.10***0.55*-0.05**0.39''-1.060.61**-0.08*0.61**0.77*0.55-0.010.64***2.73***0.51-0.05* Financial crisis 2007-20100.45-0.550.60**-0.13*0.580.650.58*-0.200.520.470.58-0.110.52-0.320.65**-0.01 3. Supervisory role CB is supervisor0.561.47**0.55*-0.09*0.610.960.39-0.150.63*0.500.56-0.050.64**2.63***0.63**-0.10* CB is not supervisor0.58**1.17**0.57**-0.06*0.44-0.670.66***-0.13*0.570.790.55-0.040.59*1.80***0.460.00 C - Robustness All stocks0.58***1.16***0.55**-0.020.50-0.310.58**-0.050.540.000.480.040.66***1.96***0.60***-0.06** Alternative coding0.530.72*0.56***-0.07**0.520.430.520.010.57*0.400.63***-0.12**0.59**1.86***0.54-0.10** Raw Diction scores--0.50***0.56***-0.07**------------------------ D - Testing for the signalling channel Short-term interest rates0.54*0.050.55**0.010.50-0.060.59**0.000.58*0.12*0.510.01'''0.58**0.040.550.00 Long-term interest rates0.530.020.520.000.45-0.030.510.000.57*0.030.500.000.520.000.56*0.00

ReturnsStandard deviation non- parametricparametricnon- parametricparametric Joint modelPessimistic FSRs non- parametricparametricnon- parametricparametricReturnsStandard deviationNeutral FSRs ReturnsStandard deviation non- parametricparametricnon- parametricparametric

Optimistic FSRs ReturnsStandard deviation non- parametricparametricnon- parametricparametric Notes: See notes to Table 4. All results relate to the effect of FSRs at a time window of 25 days. Row 1 reports the benchmark results, each subsequent row reports results of a specific sample split or robustness test. Sample splits for advanced/emerging economies, pre-crisis/financial crisis, CB as supervisor or not. Robustness tests relate to using overall stock indices rather than financial sector stocks indices, as well as to using an alternative coding of the content of the communications, or using the raw Diction optimism scores directly, rather than their discretized versions. The last panel shows the effects on short- and long-term interest rates.

Table 7: Effects of sp eeches and inte rviews – sample splits and robustness

A - Benchmark0.55**1.04**0.500.06''0.470.040.480.040.45'-0.420.56**0.020.56**2.02***0.480.12'' B - Sample splits 1. Country Group Advanced economies0.54*1.02**0.480.07''0.500.560.470.040.45'-0.340.520.020.58**2.53***0.460.15'' Emerging economies0.57*1.100.56**0.040.36''-1.740.500.030.47-0.630.65***0.030.520.600.520.06 2. Crisis versus pre-crisis Pre-crisis0.520.480.510.020.48-0.100.470.060.48-0.880.55*0.010.520.840.520.01 Financial crisis 2007-20100.59***1.87**0.490.11''0.450.290.480.020.43''0.100.56*0.030.62***3.58***0.43'0.27'' 3. Supervisory role CB is supervisor0.540.750.500.060.500.610.49-0.030.480.110.500.080.56*1.81**0.500.12 CB is not supervisor0.56**1.37**0.510.060.44'-0.490.470.10'0.43'-0.970.62***-0.040.57*2.30***0.450.12 4. Clustering Speeches as part of cluster0.51-0.040.35'''0.43'''0.47-0.200.24'''0.50'''0.561.840.37'0.36'''0.50-0.220.410.45'' Speeches outside cluster0.56**1.25***0.53**-0.010.470.080.52-0.030.43''-0.860.59***-0.050.58**2.50***0.490.05 C - Robustness All stocks0.510.87***0.480.06''0.51-0.220.480.050.48-0.280.530.010.521.46***0.44''0.13''' Alternative coding0.530.75*0.500.06''0.480.370.470.09'0.48-0.510.530.010.531.84***0.510.08 Raw Diction scores--0.13**0.500.06''------------------------ D - Testing for the signalling channel Short-term interest rates0.49-0.070.53*-0.03*0.44''-0.010.53-0.020.41'''-0.170.54*-0.020.42'''-0.150.52-0.04* Long-term interest rates0.49-0.060.500.000.48-0.020.50-0.01**0.42'''-0.040.530.000.47-0.120.480.01

non- parametricparametricnon- parametricparametricReturnsStandard deviationNeutral speeches and interviewsOptimistic speeches and interviews ReturnsStandard deviationReturnsStandard deviationReturnsStandard deviationJoint modelPessimistic speeches and interviews non- parametricparametricnon- parametricparametricnon- parametricparametricnon- parametricparametricnon- parametricnon- parametricparametricparametric Notes: See notes to Table 8, but all results relate to speeches and interviews rather than FSRs. The table also contains test results for speeches and interviews that are part of a cluster or not.

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