Non-Monetary News in Central Bank Communication

 

 

Speaker: Andreas Schrimpf, Bank for International Settlements

 

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. Nonmonetary 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.

 

Time: 12.00 – 1.00 p.m.

Venue: University of Technology, Sydney

               Building 8, Room 8.002, Dr Chau Chak Wing Building
               Dr Chau Chak Wing Building

              14 - 28 Ultimo Road, Ultimo

 

 

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)