Non-monetary news in central bank communication

• 成果类型: Article; Proceedings Paper
• 署名作者: Cieslak, Anna; Schrimpf, Andreas
• 署名单位: Duke University; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2019.01.012
• 发表日期: 2019
• 页码: 293-315
• 关键词: central bank communication; monetary policy shocks; yield curve; Stock-bond comovement; Central bank information effects; risk premia

摘要

Using evidence from four major central banks, we decompose news conveyed by central-bank communication into news about monetary policy (monetary news), as well as non-monetary news, i.e., news about economic growth and news affecting financial risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across maturities in the yield curve. We find significant differences in the news composition depending on the communication channel used by central banks. Monetary news prevails in policy decision announcements. However, the non-monetary component accounts for more than half of communications that provide context to policy decisions such as press conferences and minutes. We show that non-monetary news drives a significant part of financial markets' reaction during the financial crisis and in the early recovery, while monetary news gains importance since 2013. (C) 2019 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).