Bank of Canada Communication, Media Coverage, and Financial Market Reactions
Bernd Hayo () and
Matthias Neuenkirch ()
No 201020, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
In the literature, central bank communication is identified via either (i) the written content of original communications or (ii) newswire reports. We examine how (i) Bank of Canada communications and (ii) media reporting on them impacts Canadian bond and stock market returns using a GARCH model over the period 1998–2006. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not appear to play a prominent role.
Keywords: Bank of Canada; Central Bank Communication; Financial Markets; Media Coverage; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E52 G14 G15 (search for similar items in EconPapers)
Pages: 10 pages
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
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Journal Article: Bank of Canada communication, media coverage, and financial market reactions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201020
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