Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market

Masahiko Shibamoto

No DP2016-19, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper proposes an empirical framework to explore the role of monetary policy communication. We develop an econometric methodology to impose restrictions for the identification of communication effects distinct from the effects of policy decisions. The empirical results support the hypothesis that both policy decision and communication factors are required to adequately capture the financial market reactions to monetary policy news. By applying a text mining approach focused on phrases that appear in press conferences on policy meeting days, we find that the communication factors identified are characterized by the policy intentions and preferences of the central bank.

Keywords: Monetary policy communication; Policy surprise; Financial market; Event study; Text mining (search for similar items in EconPapers)
JEL-codes: C30 E52 E58 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2016-04
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:kob:dpaper:dp2016-19

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