The long-run information effect of central bank communication

• 成果类型: Article
• 署名作者: Hansen, Stephen; McMahon, Michael; Tong, Matthew
• 署名单位: Imperial College London; Centre for Economic Policy Research - UK; University of Oxford; Centre for Economic Policy Research - UK; Bank of England
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.09.002
• 发表日期: 2019
• 页码: 185-202
• 关键词: Monetary policy; COMMUNICATION; Machine Learning

摘要

Why do long-run interest rates respond to central bank communication? Whereas existing explanations imply a common set of signals drives short and long-run yields, we show that news on economic uncertainty can have increasingly large effects along the yield curve. To evaluate this channel, we use the publication of the Bank of England's Inflation Report, from which we measure a set of high-dimensional signals. The signals that drive longrun interest rates do not affect short-run rates and operate primarily through the term premium. This suggests communication plays an important role in shaping perceptions of long-run uncertainty. (C) 2019 The Bank of England. Published by Elsevier B.V. All rights reserved.