Swiss National Bank communication and investors’ uncertainty
The North American Journal of Economics and Finance, 2020, vol. 51, issue C
This paper analyzes the effects of Swiss National Bank communication on stock investors’ uncertainty. Monetary policy news is identified via changes in short- and medium-term futures prices as well as by applying methods from computational linguistics and dictionary approaches to policy statements. Surprises in policy rate changes and regarding the future path of the policy rate exhibit an asymmetric effect on stock investors’ uncertainty. Moreover, by taking into account various topics addressed in the statements, I show that investors’ uncertainty decreases due to an optimistic tone in communications about economic growth. Increased uncertainty expressed in policy statements translate into increasing stock investors’ uncertainty. The results explain how news contained in monetary policy statements reduce noise in financial markets and therefore contribute to financial stability.
Keywords: Monetary policy; Communication; Stock markets; Uncertainty (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819301366
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().