Central Bank Communication on Financial Stability
By Benjamin Born, Michael Ehrmann, Marcel Fratzscher. Social Science Research Network, 2014
171 citations recorded by the source corpus.
Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications affect financial markets. Building a unique dataset, it provides an empirical assessment of the reactions of stock markets to more than 1000 releases of FSRs and speeches by 37 central banks over the past 14 years. The findings suggest that FSRs have a significant and potentially long-lasting effect on stock market returns, and also tend to reduce market volatility. Speeches and interviews, in contrast, have little effect on market returns and do not generate a volatility reduction during tranquil times, but have had a substantial effect during the 2007-10 financial crisis. The findings suggest that financial stability communication by central banks are perceived by markets to contain relevant information, and they underline the importance of differentiating between communication tools, their content and the environment in which they are employed.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9f4710c585c38332915bdc986782ecfbed8ec103
Citations in the corpus
- Sentiment in Central Banks’ Financial Stability Reports* (2017, unknown): “Although the central banks of England, Sweden, and Norway started publishing FSRs as early as 1996 (Born et al., 2014), regular publication started in these countries between 1999 and 2000. Other early publishers of FSRs include the IMF (2002), Austria (2001), Belgium (2002), Brazil (2002), Canada (”
- When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries (2019, unknown): “Evidence for this case is provided, for example, by Égert and Kočenda (2014) for three Eastern European exchange rates and by Born et al. (2014) for the effect of central bankers’ speeches.”
- What do we know about the effects of macroprudential policy (2018, unknown): “The effect of communication about financial stability issues via the publication of Financial Stability Reports and through speeches and interviews over the past 14 years, has been studied in Born et al. (2011).”