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Information Acquisition ahead of Monetary Policy Announcements

Michael Ehrmann and Paul Hubert

Working papers from Banque de France

Abstract: How do financial markets acquire information about upcoming monetary policy decisions, beyond their reaction to central bank signals? This paper hypothesises that sharing information among investors can improve expectations, especially in the presence of disagreement or uncertainty about the economy. To test this hypothesis, the paper studies monetary policy-related content on Twitter during the “quiet period” before European Central Bank announcements, when policymakers refrain from public statements related to monetary policy. Conditional on large disagreement about the economic outlook, higher Twitter traffic is associated with smaller monetary policy surprises, suggesting that exchanging private signals among investors can help improve expectations.

Keywords: Central Bank Communication; Quiet Period; Twitter; Market Expectations; Information Processing (search for similar items in EconPapers)
JEL-codes: D83 E52 E58 G14 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2022
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

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https://publications.banque-france.fr/sites/defaul ... ocuments/wp897_0.pdf

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Working Paper: Information acquisition ahead of monetary policy announcements (2023) Downloads
Working Paper: Information Acquisition ahead of Monetary Policy Announcements (2022) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:897

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