Does People's Bank of China Communication Matter? Evidence from Stock Market Reaction
Hamza Bennani
Post-Print from HAL
Abstract:
This paper tests whether the communication of the People's Bank of China affects market expectations and matters as a monetary policy tool. For that purpose, we first rely on a computational linguistic tool to measure the tone of PBC speeches and second, we use a high frequency methodology to estimate the effect of tone on stock price. Our results show that positive changes of the tone affect positively stock price in the Shanghai and the Shenzhen stocks markets. Additional extensions show that PBC communication still has a positive and significant impact on stock price even when controlling for all the monetary policy instruments implemented by the central bank, but that this impact is not persistent over time. One potential channel through which PBC tone affects stock prices is the risk-based channel of monetary policy.
Keywords: [No; keyword; available] (search for similar items in EconPapers)
Date: 2019
Note: View the original document on HAL open archive server: https://hal.science/hal-02127840
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Published in Emerging Markets Review, 2019, 40, pp.1-12. ⟨10.1016/j.ememar.2019.05.002⟩
Downloads: (external link)
https://hal.science/hal-02127840/document (application/pdf)
Related works:
Journal Article: Does People's Bank of China communication matter? Evidence from stock market reaction (2019) 
Working Paper: Does People's Bank of China communication matter? Evidence from stock market reaction (2019) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02127840
DOI: 10.1016/j.ememar.2019.05.002
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().