Assessing central bank communication through monetary policy statements: Results for Colombia, Chile and Peru

Marco Vega and Erick Lahura

No 2020-017, Working Papers from Banco Central de Reserva del Perú

Abstract: We build central-bank-specific dictionaries to obtain monetary policy tone indicators from published press releases about policy decisions. Tone indicators and their decomposition into different topical sources provide important information on monetary policy. We include the indicator in a number of structural VAR models to assess the effect of communication shocks on inflation expectations. We find some evidence on the effectiveness of communication.

Keywords: Monetary policy; communication; inflation expectations (search for similar items in EconPapers)
JEL-codes: D83 D84 E52 E58 (search for similar items in EconPapers)
Date: 2020-12
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2020-017

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