Non-Monetary News in Central Bank Communication

Anna Cieslak and Andreas Schrimpf

No 25032, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy decision announcements by the Fed and the ECB, and this fraction is even higher for communications that provide context to policy decisions such as press conferences. We show that non-monetary news accounts for a significant part of financial markets' reaction during the financial crisis and in the early recovery, while monetary shocks gain importance since 2013.

JEL-codes: E43 E58 G12 G14 (search for similar items in EconPapers)
Date: 2018-09
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (31)

Published as Non-Monetary News in Central Bank Communication , Anna Cieslak, Andreas Schrimpf. in NBER International Seminar on Macroeconomics 2018 , Galí and West. 2019
Published as Anna Cieslak & Andreas Schrimpf, 2019. "Non-monetary news in central Bank communication," Journal of International Economics, .

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Journal Article: Non-monetary news in central bank communication (2019)
Chapter: Non-Monetary News in Central Bank Communication (2018)
Working Paper: Non-monetary news in central bank communication (2018)
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