Central Bank Communication and Interest Rates: The Case of the Czech National Bank

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10196300" target="_blank" >RIV/00216208:11230/13:10196300 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Central Bank Communication and Interest Rates: The Case of the Czech National Bank

Popis výsledku v původním jazyce

We examine how written and oral central bank communications affect the level and volatility of interest rates. We use detailed daily data on the Czech central bank's communication in 2007-2012. We find that financial markets respond to central bank communication. Short-term interest rates rise if the bank communicates that economic conditions are good. The results suggest that written communication, but not oral communication, decreases the volatility of both short-term and long-term interest rates. Thetiming of communication has a key role, as comments made closer to the monetary policy meeting have a bigger calming effect on the markets. All in all, our results point to the importance of well-designed communication for reducing noise in the financial markets.

Název v anglickém jazyce

Central Bank Communication and Interest Rates: The Case of the Czech National Bank

Popis výsledku anglicky

We examine how written and oral central bank communications affect the level and volatility of interest rates. We use detailed daily data on the Czech central bank's communication in 2007-2012. We find that financial markets respond to central bank communication. Short-term interest rates rise if the bank communicates that economic conditions are good. The results suggest that written communication, but not oral communication, decreases the volatility of both short-term and long-term interest rates. Thetiming of communication has a key role, as comments made closer to the monetary policy meeting have a bigger calming effect on the markets. All in all, our results point to the importance of well-designed communication for reducing noise in the financial markets.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

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Svazek periodika

63

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

11

Strana od-do

454-464

Kód UT WoS článku

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EID výsledku v databázi Scopus

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