Arbeitspapier
Text mining and the information content of Bank of Canada communications
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. Discussions about geopolitical risk and other external shocks, major domestic shocks (SARS and BSE), the balance of risks to the economic projection, and various forward looking statements are found to significantly affect market returns and volatility, especially for short-term markets. This effect is over and above that from the information contained in any policy interest rate surprise.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Working Paper ; No. 2010-31
- Classification
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Central Banks and Their Policies
- Subject
-
Financial markets
Monetary policy implementation
Zentralbank
Informationsverbreitung
Ankündigungseffekt
Anlageverhalten
Zins
Kanada
- Event
-
Geistige Schöpfung
- (who)
-
Hendry, Scott
Madeley, Alison
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
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Ottawa
- (when)
-
2010
- DOI
-
doi:10.34989/swp-2010-31
- Handle
- Last update
-
10.03.2025, 11:42 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
- Hendry, Scott
- Madeley, Alison
- Bank of Canada
Time of origin
- 2010
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