Does central bank communication signal future monetary policy in a (post)-crisis era? The case of the ECB

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10409763" target="_blank" >RIV/00216208:11230/20:10409763 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Hj3k5L2gjJ" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Hj3k5L2gjJ</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jimonfin.2020.102167" target="_blank" >10.1016/j.jimonfin.2020.102167</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Does central bank communication signal future monetary policy in a (post)-crisis era? The case of the ECB

Popis výsledku v původním jazyce

We examine the European Central Bank&apos;s ad-hoc communication and explore how it informs future monetary policy decisions. Using the rich dataset of the inter-meeting verbal communication by the members of the European Central Bank&apos;s Governing Council between 2008 and 2016, we construct a measure of communication evaluating its inclination towards easing, tightening or maintaining the monetary policy stance. We find that this measure provides useful additional information about future monetary policy decisions, even when we control for market-based interest rate expectations and lagged decisions. Our results also suggest that, in particular, communication related to conventional measures and/or by the ECB President explain the future ECB rate changes well. All aforementioned results hold also in the environment of the zero lower bound. Overall, these results point to the importance of transparent communication in understanding the future course of monetary policy.

Název v anglickém jazyce

Does central bank communication signal future monetary policy in a (post)-crisis era? The case of the ECB

Popis výsledku anglicky

We examine the European Central Bank&apos;s ad-hoc communication and explore how it informs future monetary policy decisions. Using the rich dataset of the inter-meeting verbal communication by the members of the European Central Bank&apos;s Governing Council between 2008 and 2016, we construct a measure of communication evaluating its inclination towards easing, tightening or maintaining the monetary policy stance. We find that this measure provides useful additional information about future monetary policy decisions, even when we control for market-based interest rate expectations and lagged decisions. Our results also suggest that, in particular, communication related to conventional measures and/or by the ECB President explain the future ECB rate changes well. All aforementioned results hold also in the environment of the zero lower bound. Overall, these results point to the importance of transparent communication in understanding the future course of monetary policy.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA19-15650S" target="_blank" >GA19-15650S: Správa centrálních bank: Transparence a komunikace po krizi</a><br>

Návaznosti

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

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Journal of International Money and Finance

ISSN

0261-5606

e-ISSN

—

Svazek periodika

104

Číslo periodika v rámci svazku

June

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

17

Strana od-do

1-17

Kód UT WoS článku

000531016400003

EID výsledku v databázi Scopus

2-s2.0-85081217357