| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13438 |
| DP13438 The Long-Run Information Effect of Central Bank Communication | |
| Michael McMahon; Matthew Tong | |
| 发表日期 | 2019-01-09 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Why do long-run interest rates respond to central bank communication? Whereas existing explanations imply a common set of signals drives short and long-run yields, we show that news on economic uncertainty can have increasingly large effects along the yield curve. To evaluate this channel, we use the publication of the Bank of England’s Inflation Report, from which we measure a set of high-dimensional signals. The signals that drive long-run interest rates do not affect short-run rates and operate primarily through the term premium. This suggests communication plays an important role in shaping perceptions of long-run uncertainty. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | monetary policy Communication Machine learning |
| URL | https://cepr.org/publications/dp13438 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542253 |
| 推荐引用方式 GB/T 7714 | Michael McMahon,Matthew Tong. DP13438 The Long-Run Information Effect of Central Bank Communication. 2019. |
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