Impact of the Central Bank's Communication on FX Market Dynamics

Tetiana Yukhymenko () and Oleh Sorochan ()
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Tetiana Yukhymenko: National Bank of Ukraine
Oleh Sorochan: National Bank of Ukraine

Visnyk of the National Bank of Ukraine, 2023, issue 255, 4-21

Abstract: This study explores the impact of central bank communications on FX market dynamics. Our main results suggest that the NBU’s statements and press releases on monetary policy issues do indeed matter. We find that exchange rate movements and volatility are negatively correlated with the volumes of publications by the NBU on its official website. However, this effect is noticeably larger for volatility than for exchange rate changes. The impact of communications on FX developments is strongest a week after a news release, and it persists further. Furthermore, these indicators turn out to be more sensitive to monetary policy announcements than NBU updates overall.

Keywords: monetary policy; central bank communications; FX market; text analysis (search for similar items in EconPapers)
JEL-codes: C55 E58 E71 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2023:i:255:p:4-21

DOI: 10.26531/vnbu2023.255.01

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