The Missing Surprise: Transmission Protection in Central Bank Announcements

Christoph Grosse Steffen, Stéphane Lhuissier and Daniel J. Lewis

Working papers from Banque de France

Abstract: Central bank communications frequently contain information about financial-market backstops that affect monetary policy transmission. We identify these transmission protection surprises in the euro area, alongside policy stance and central bank information surprises, by exploiting heteroskedasticity in minute-by-minute asset price movements. Unlike standard factor models, our approach allows active policy dimensions and their impacts to vary across events. Event-specific decompositions quantify the narrative record and reveal substantial heterogeneity of effects across announcements. We show that transmission protection is a distinct dimension of central bank announcements, with financial-market effects separate from both policy stance and information shocks.

Keywords: Monetary Policy; High-Frequency Identification; Central Bank Communication; Information Effects; Financial Stability; Transmission Protection (search for similar items in EconPapers)
JEL-codes: E52 E58 F45 G12 (search for similar items in EconPapers)
Pages: 75 pages
Date: 2026
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https://www.banque-france.fr/system/files/2026-08/WP1061.pdf

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Working Paper: The Missing Surprise: Transmission Protection in Central Bank Announcements (2026)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:1061

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