| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13490 |
| DP13490 Does Central Bank Tone Move Asset Prices? | |
| Maik Schmeling; Christian Wagner | |
| 发表日期 | 2019-01-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper shows that changes in the tone of central bank communication have a significant effect on asset prices. Tone captures how the central bank frames economic fundamentals and its monetary policy. When tone becomes more positive, stock prices increase, and more so for stocks with high systematic risk, whereas credit spreads and volatility risk premia decrease. These tone effects are robust to controlling for fundamentals, policy actions, and other features of central bank communication, which suggests that tone is a generic instrument of monetary policy that can affect risk premia embedded in asset prices. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | monetary policy Central bank communication Textual analysis Risk premia Stock returns Volatility risk Credit spreads |
| URL | https://cepr.org/publications/dp13490 |
| 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/542306 |
| 推荐引用方式 GB/T 7714 | Maik Schmeling,Christian Wagner. DP13490 Does Central Bank Tone Move Asset Prices?. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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