We examine how Bank of Canada communications and media reporting on them impacts Canadian bond and stock market returns. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market.

We examine the effects of U.S. target rate changes and FOMC communications on European and Pacific equity market returns and find that both have a significant impact. European markets are influenced by a greater variety of communications than Pacific markets.

We analyze the influence of US monetary policy on commodity price volatility. Expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox measures increase it. The “calming” effect of communication is reduced during the financial crisis.