| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15367 |
| 来源ID | Working Paper 15367 |
| Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements | |
| David O. Lucca; Francesco Trebbi | |
| 发表日期 | 2009-09-17 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We present a new automated, objective and intuitive scoring technique to measure the content of central bank communication about future interest rate decisions based on information from the Internet and news sources. We apply the methodology to statements released by the Federal Open Market Committee (FOMC) after its policy meetings starting in 1999. Using intra-day financial quotes, we find that short-term nominal Treasury yields respond to changes in policy rates around policy announcements, whereas longer-dated Treasuries mainly react to changes in policy communication. Using lower frequency data, we find that changes in the content of the statements lead policy rate decisions by more than a year in univariate interest rate forecasting and vector autoregression (VAR) models. When we estimate Treasury yield responses to the shocks identified in the VAR, we find communication to be a more important determinant of Treasury rates than contemporaneous policy rate decisions. These results are consistent with the view that the FOMC releases information about future policy rate actions in its statements and that market participants incorporate this information when pricing longer-dated Treasuries. Finally, we decompose realized policy rate decisions using a forward-looking Taylor rule model. Based on this decomposition, we find that FOMC statements contain significant information regarding both the predicted rule-based interest rate and the Taylor-rule residual component, and that content of the statements leads the residual by a few quarters. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w15367 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573042 |
| 推荐引用方式 GB/T 7714 | David O. Lucca,Francesco Trebbi. Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15367.pdf（592KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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