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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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CentralBankRoBERTa : A fine-tuned large language model for central bank communications
Pfeifer, Moritz; Marohl, Vincent P. - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-11
Central bank communications are an important tool for guiding the economy and fulfilling monetary policy goals. Natural language processing (NLP) algorithms have been used to analyze central bank communications. These outdated bag-of-words methods often ignore context and cannot distinguish who...
Persistent link: https://www.econbiz.de/10014513983
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Managing financial market expectations : the role of central bank transparency and central bank communication
Neuenkirch, Matthias - 2010
In this paper, we study the influence of central bank transparency and informal central bank communication on the money … January 1999 to July 2007. We find, first, that both transparency and communication facilitate understanding upcoming interest … optimal design for central banks as (i) a very high degree of transparency, (ii) frequent communication on an informal basis …
Persistent link: https://www.econbiz.de/10008695544
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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...
Persistent link: https://www.econbiz.de/10009783711
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Estimating Fed's unconventional policy shocks
Jarociński, Marek - 2021
Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks...
Persistent link: https://www.econbiz.de/10012607553
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Monetary policy announcements and expectations : evidence from German firms
Enders, Zeno; Hünnekes, Franziska; Müller, Gernot J. - 2019
We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms...
Persistent link: https://www.econbiz.de/10012159806
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Do firm expectations respond to monetary policy announcements?
Di Pace, Federico; Mangiante, Giacomo; Masolo, Riccardo - 2023
We study whether firms' expectations react to the Bank of England's monetary policy announcements by comparing the responses to the Decision Maker Panel (DMP) survey filed immediately before and after a Monetary Policy Committee (MPC) meeting. On the one hand, we find that firms' expectations...
Persistent link: https://www.econbiz.de/10014233608
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Information effects of US monetary policy announcements on emerging economies : evidence from Mexico
Alba, Carlos; Carrillo, Julio A.; Ibarra-Ramírez, Raúl - 2024
This paper analyzes, using a VAR model, the effects of US central bank monetary policy announcements, and information shocks from this authority regarding its economic outlook on Mexican financial and macroeconomic variables. Shocks are identified by combining a high-frequency strategy with sign...
Persistent link: https://www.econbiz.de/10015069701
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Does central bank transparency and communication affect financial and macroeconomic forecasts?
Lustenberger, Thomas; Rossi, Enzo - 2018
set of professional forecasts of financial and macroeconomic variables. More communication even increases forecast errors …
Persistent link: https://www.econbiz.de/10011790688
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Market-Implemented Monetary Policy with Open Mouth Operations
Wright, Julian; Guthrie, Graeme - 1998
are drawn for research in other areas, in particular the news approach to exchange rate modeling, the expectations theory …
Persistent link: https://www.econbiz.de/10014064148