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Spread the Word: International spillovers from central bank communication

Hanna Armelius (), Christoph Bertsch (), Isaiah Hull () and Xin Zhang

Journal of International Money and Finance, 2020, vol. 103, issue C

Abstract: We construct a novel text dataset to measure the sentiment component of communications for 23 central banks over the 2002–2017 period. Our analysis yields three results. First, comovement in sentiment across central banks is not reducible to trade or financial flow exposures. Second, sentiment shocks generate cross-country spillovers in sentiment, policy rates, and macroeconomic variables; and the Fed appears to be a uniquely influential generator of such spillovers, even among prominent central banks. And third, geographic distance is a robust and economically significant determinant of comovement in central bank sentiment, while shared language and colonial ties have weaker predictive power.

Keywords: Communication; Monetary policy; International policy transmission (search for similar items in EconPapers)
JEL-codes: E52 E58 F42 (search for similar items in EconPapers)
Date: 2020
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Working Paper: Spread the Word: International Spillovers from Central Bank Communication (2019) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619302967

DOI: 10.1016/j.jimonfin.2019.102116

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