Shocking language: Understanding the macroeconomic effects of central bank communication

• 成果类型: Article; Proceedings Paper
• 署名作者: Hansen, Stephen; McMahon, Michael
• 署名单位: Pompeu Fabra University; Barcelona School of Economics; University of Warwick; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.12.008
• 发表日期: 2016
• 页码: S114-S133
• 关键词: Monetary policy; COMMUNICATION; vector autoregression

摘要

We explore how the multi-dimensional aspects of information released by the FOMC has effects on both market and real economic variables. Using tools from computational linguistics, we measure the information released by the FOMC on the state of economic conditions, as well as the guidance the FOMC provides about future monetary policy decisions. Employing these measures within a FAVAR framework, we find that shocks to forward guidance are more important than the FOMC communication of current economic conditions in terms of their effects on market and real variables. Nonetheless, neither communication has particularly strong effects on real economic variables. (C) 2016 Elsevier B.V. All rights reserved.