Central bank communication through interest rate projections

Leif Brubakk, Saskia ter Ellen and Hong Xu

Journal of Banking & Finance, 2021, vol. 124, issue C

Abstract: In this paper we quantitatively investigate how central bank communication affects the market yield curve on announcement days. We do this for two central banks who communicate future policy intentions by means of publishing the path of expected future policy rates. We find that unanticipated changes in the published policy rates correspond to yield changes in the same direction. However, policy revisions cannot explain all variation in market rates on announcement days. We further shed some light on which sources of disagreement could explain these differences.

Keywords: Monetary policy; Central bank communication; Interest rates (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:124:y:2021:i:c:s0378426621000029

DOI: 10.1016/j.jbankfin.2021.106044

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