全球智库信息集成服务系统(G2TT): Non-Monetary News in Central Bank Communication

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25032
来源ID	Working Paper 25032
	Non-Monetary News in Central Bank Communication
	Anna Cieslak; Andreas Schrimpf
发表日期	2018-09-17
出版年	2018
语种	英语
摘要	We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy decision announcements by the Fed and the ECB, and this fraction is even higher for communications that provide context to policy decisions such as press conferences. We show that non-monetary news accounts for a significant part of financial markets' reaction during the financial crisis and in the early recovery, while monetary shocks gain importance since 2013.
主题	Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w25032
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/582706
推荐引用方式 GB/T 7714	Anna Cieslak,Andreas Schrimpf. Non-Monetary News in Central Bank Communication. 2018.

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
w25032.pdf（596KB）	智库出版物		限制开放	CC BY-NC-SA	浏览