Spread the Word: International Spillovers from Central Bank Communication
Hanna Armelius (),
Christoph Bertsch (),
Isaiah Hull () and
No 824, BIS Working Papers from Bank for International Settlements
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)
Pages: 55 pages
New Economics Papers: this item is included in nep-big, nep-cba, nep-ifn, nep-mac, nep-mon and nep-opm
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Journal Article: Spread the Word: International spillovers from central bank communication (2020)
Working Paper: Spread the Word: International Spillovers from Central Bank Communication (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:824
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