Verbální intervence ČNB: reaguje devizový kurz na slova bankovní rady?

Czech National Bank Verbal Interventions: Does the Exchange Rate React to Words from CNB Bank Board?

Stanislav Hába

Politická ekonomie, 2016, vol. 2016, issue 4, 405-419

Abstract: This paper focuses on impact of central bank's oral commentaries on asset prices, i.e. verbal interventions. The paper maps basic preconditions and key channel how central bank's words mirror into asset prices. A significant part of the paper concentrates on the Czech Republic where the exchange rate floor and accompanying frequent comments from the CNB's Bank Board are in operation since 2013. The first hypothesis tests whether there is asset price-making information during the Bank Board decision days. In this sense, the factor analysis confirms at least two factors which influence various asset prices. It is assumed that former factor concerns the surprise in monetary policy decision and the latter following press conference. The second hypothesis endeavours to specify the components of verbal interventions: position in the Bank Board, verbal intervention form and visibility of intervention topic. Only comments made by the CNB's governor proved to be significant, leading to higher volatility of the exchange rate.

Keywords: monetary policy; monetary instrument; intervention; exchange rates; central banking; central bank communication; asset price (search for similar items in EconPapers)
JEL-codes: E52 E58 F31 G14 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.18267/j.polek.1078

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