Arbeitspapier
Bank of Canada communication, media coverage, and financial market reactions
We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998-2006); however, media coverage is particularly high during phases of increased uncertainty about the future course and timing of Canadian monetary policy. Official communications exert a larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not play a prominent role.
- Language
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Englisch
- Bibliographic citation
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Series: MAGKS Joint Discussion Paper Series in Economics ; No. 20-2010
- Classification
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Wirtschaft
Monetary Policy
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Subject
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Bank of Canada
central bank communication
financial markets
media coverage
monetary policy
Geldpolitik
Staatliche Information
Mediale Berichterstattung
Wirkungsanalyse
Börsenkurs
Kapitalertrag
Finanzmarkt
Kanada
- Event
-
Geistige Schöpfung
- (who)
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Hayo, Bernd
Neuenkirch, Matthias
- Event
-
Veröffentlichung
- (who)
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Philipps-University Marburg, Faculty of Business Administration and Economics
- (where)
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Marburg
- (when)
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2010
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hayo, Bernd
- Neuenkirch, Matthias
- Philipps-University Marburg, Faculty of Business Administration and Economics
Time of origin
- 2010
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