| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17295 |
| DP17295 Deciphering Monetary Policy Shocks | |
| Phillipp Gnan; Maximilian Schleritzko; Maik Schmeling; Christian Wagner | |
| 发表日期 | 2022-05-11 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We decipher monetary policy shocks by directly connecting them to the stance a central bank expresses in its communication about different topics. To measure topic-specific central bank stances, we apply textual analysis techniques to press conference statements of the European Central Bank (ECB). Using three sets of shocks established in the literature, based on either high-frequency market reactions in single interest rates, the entire term structure, or the joint response in interest rates and stock prices, we find that markets distinctively react to news on the topics rate guidance, economic activity, and financial and monetary conditions. Likewise, responses in sovereign yield spreads and exchange rates can be directly linked to specific topics. Our findings provide validation for price-based monetary policy shocks used in numerous studies in monetary economics and asset pricing. They should also prove useful for the optimal design of policy communication. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Monetary policy shocks Central bank communication Asset pricing Textual analysis |
| URL | https://cepr.org/publications/dp17295 |
| 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/546320 |
| 推荐引用方式 GB/T 7714 | Phillipp Gnan,Maximilian Schleritzko,Maik Schmeling,et al. DP17295 Deciphering Monetary Policy Shocks. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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