Starting from a blank page? Semantic similarity in central bank communication and market volatility3en

• 成果类型: Article
• 署名作者: Ehrmann, Michael; Talmi, Jonathan
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.01.028
• 发表日期: 2020
• 页码: 48-62
• 关键词: central bank communication; semantic similarity; volatility; ARCH models; Interest rates

摘要

Central banks often draft press releases announcing monetary policy decisions starting from the previous release. This makes it straightforward to see how the content has evolved, but may make substantial updates harder to interpret, as markets learn to expect only minor updates. Using variation in the drafting process at the Bank of Canada, this paper finds that similar press releases reduce market volatility, whereas volatility rises when substantial changes occur after sequences of similar statements. A comparison over time and across central banks shows that market sensitivity to similarity adjusts to the drafting practice of central banks. (C) 2019 Elsevier B.V. All rights reserved.