NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Anna Cieslak

Duke University
The Fuqua School of Business
100 Fuqua Drive
Durham, NC 27708

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Institutional Affiliation: Duke University

NBER Working Papers and Publications

September 2018Non-Monetary News in Central Bank Communication
with Andreas Schrimpf: w25032
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy decision announcements by the Fed and the ECB, and this fraction is even higher for communications that provide context to policy decisions such as press conferences. We show that non-monetar...

Published: Anna Cieslak & Andreas Schrimpf, 2019. "Non-monetary news in central Bank communication," Journal of International Economics, .

June 2018Non-Monetary News in Central Bank Communication
with Andreas Schrimpf
in NBER International Seminar on Macroeconomics 2018, Jordi GalĂ­ and Kenneth West, organizers
 
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