The long-run information effect of central bank communication

Arbeitspapier

Why do long-run interest rates respond to central bank communication? Whereas existing explanations imply a common set of signals drives short and long-run yields, we show that news on economic uncertainty can have increasingly large effects along the yield curve. To evaluate this channel, we use the publication of the Bank of England's Inflation Report, from which we measure a set of highdimensional signals. The signals that drive long-run interest rates do not affect short-run rates and operate primarily through the term premium. This suggests communication plays an important role in shaping perceptions of long-run uncertainty.

Angaben zum Objekt

• ISBN: 978-92-899-4006-1
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2363

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies ; Large Data Sets: Modeling and Analysis
• Thema: Monetary Policy ; Communication ; Machine Learning

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hansen, Stephen ; McMahon, Michael ; Tong, Matthew
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2020

Weitere Informationen

• DOI: doi:10.2866/49682
• Handle: http://hdl.handle.net/10419/228241
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ