Comment on The long-run information effect of Central Bank communication by Stephen Hansen, Michael McMahon, and Matthew Tong

• 成果类型: Editorial Material
• 署名作者: Tang, Jenny
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.09.011
• 发表日期: 2019
• 页码: 203-210
• 关键词: Monetary policy; COMMUNICATION; Long-term interest rates; Interest rate expectations; uncertainty

摘要

Hansen et al. (2019) highlight an uncertainty effect on long-term interest rates, particularly term premia, of central bank communication using novel measures constructed directly from the text of the Bank of England's Inflation Report. This comment takes a more in-depth look at these narrative measures, showing that the measures identified as being important for explaining the short-rate expectations and term premia components of interest rates are equally important for explaining overall interest rate movements at all maturities. Furthermore, the signals identified as being important for long-term rates and term premia are indeed correlated with perceptions of uncertainty, but are also related to changes in longer-horizon economic forecasts. This suggests a more balanced view of central bank communications transmitting to long-term interest rates through both short-rate expectations and uncertainty. (C) 2019 Elsevier B.V. All rights reserved.