Bank of Canada Communication, Media Coverage, and Financial Market Reactions

Bank of Canada Communication, Media Coverage, and Financial Market Reactions

In the literature, central bank communication is identified via either (i) the written content of original communications or (ii) newswire reports. We examine how (i) Bank of Canada communications and (ii) media reporting on them impacts Canadian bond and stock market returns using a GARCH model ove...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 20-2010)
Autoren: Hayo, Bernd, Neuenkirch, Matthias
Format: Arbeit
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2010
Schlagworte:
Bank of Canada
Monetary Policy
Wirtschaft
Central Bank Communication
Media Coverage
Financial Markets
Economics
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Zusammenfassung:In the literature, central bank communication is identified via either (i) the written content of original communications or (ii) newswire reports. We examine how (i) Bank of Canada communications and (ii) media reporting on them impacts Canadian bond and stock market returns using a GARCH model over the period 1998–2006. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not appear to play a prominent role.
Umfang:10 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0050

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