 Comment on “The long-run information effect of Central Bank communication” by Stephen Hansen, Michael McMahon, and Matthew TongJournal of Monetary Economics, 2019, vol. 108, issue C, 203-210 Abstract: Hansen et al. (2019) highlight an uncertainty effect on long-term interest rates, particularly term premia, of central bank communication using novel measures constructed directly from the text of the Bank of England’s Inflation Report. This comment takes a more in-depth look at these narrative measures, showing that the measures identified as being important for explaining the short-rate expectations and term premia components of interest rates are equally important for explaining overall interest rate movements at all maturities. Furthermore, the signals identified as being important for long-term rates and term premia are indeed correlated with perceptions of uncertainty, but are also related to changes in longer-horizon economic forecasts. This suggests a more balanced view of central bank communications transmitting to long-term interest rates through both short-rate expectations and uncertainty. Keywords: Monetary policy; Communication; Long-term interest rates; Interest rate expectations; Uncertainty (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:108:y:2019:i:c:p:203-210 DOI: 10.1016/j.jmoneco.2019.09.011 Access Statistics for this article Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser More articles in Journal of Monetary Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.