The Missing Surprise: Transmission Protection in Central Bank Announcements

Christoph Grosse Steffen, Daniel Lewis and Lhuissier, Stéphane

No 21692, CEPR Discussion Papers from Centre for Economic Policy Research

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 effect; Financial stability; Transmission protection (search for similar items in EconPapers)
JEL-codes: E52 E58 F45 G12 (search for similar items in EconPapers)
Date: 2026-07
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