Non-monetary news in central bank communication

By Anna Cieślak, A. Schrimpf. Journal of International Economics, 2018

303 citations recorded by the source corpus.

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy decision announcements by the Fed and the ECB, and this fraction is even higher for communications that provide context to policy decisions such as press conferences. We show that non-monetary news accounts for a significant part of financial markets' reaction during the financial crisis and in the early recovery, while monetary shocks gain importance since 2013.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2d4ef686ab5221d8fe9170eecf7cfe798dae5a32

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In Economics and Econometrics

1. Pascal Paul
2. P. Andrade
3. Filippo Ferroni

In Finance

1. Pascal Paul
2. P. Andrade
3. Filippo Ferroni

Citations in the corpus

• The long-run information effect of central bank communication (2019, unknown): “Cieslak and Schrimpf (2019) discuss a similar channel (without formally modeling it), and the idea is also consistent with Bansal and Shaliastovich (2013) and Ellison and Tischbirek (2018) . effect of any given signal the central bank sends as potentially coming from all three channels, and our…”
• Measuring euro area monetary policy (2019, unknown): “Work on related questions for the euro area have been done by Brand et al. (2010) , Jardet and Monks (2014) , Andrade and Ferroni (2016) , Leombroni et al. (2017) , Cieslak and Schrimpf (2018) , Kane et al. (2018) , Rogers et al. (2014) , and Jaroci ́nski and Karadi (2018) among others.”
• Delphic and odyssean monetary policy shocks: Evidence from the euro area (2018, background): “(7)See also Cieslak and Schrimpf (2018), who combine stock prices together with short- and long-term interest rates to separately identify surprises pertaining to monetary policy, information on output growth, and risk premium. (8)See also Lunsford (2019) for related US evidence during the 2003-2006”
• The Time-Varying Effect of Monetary Policy on Asset Prices (2017, background): “See Andrade and Ferroni (2016), Campbell, Evans, Fisher, and Justiniano (2012), Campbell, Fisher, Justiniano, and Melosi (2017), Cieslak and Schrimpf (2018), Lakdawala (2017), Jarocinski & Karadi (2018), and Miranda-Agrippino & Ricco (2017) for alternative approaches to identifying the importance…”