Monetary policy transmission in vector autoregressions: A new approach using central bank communication

Arbeitspapier

In this paper, we study the role central bank communication plays in the monetary policy transmission mechanism. We employ the Swiss Economic Institute's Monetary Policy Communicator to measure the future stance of the European Central Bank's monetary policy. Our results indicate that, first, communication influences prices and output. Second, communication partly crowds out the effects of the short-term interest rate as the latter's influence is lower and its implementation lag increases compared to a benchmark model without central bank communication. Future work on monetary policy transmission should incorporate both a short-term interest rate and a communication indicator.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: MAGKS Joint Discussion Paper Series in Economics ; No. 43-2011

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies
• Subject: central bank communication ; European Central Bank ; monetary policy shocks ; monetary policy transmission ; vector autoregression ; Geldpolitik ; Informationsverhalten ; Staatliche Information ; Transmissionsmechanismus ; Makroökonomischer Einfluss ; Europäische Wirtschafts- und Währungsunion ; Eurozone

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Neuenkirch, Matthias
• Event: Veröffentlichung
• (who): Philipps-University Marburg, Faculty of Business Administration and Economics
• (where): Marburg
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/56513
• Last update: 10.03.2025, 11:42 AM CET