Template-Type: ReDIF-Paper 1.0
Author-Name: Fiorella De Fiore
Author-X-Name-First: Fiorella
Author-X-Name-Last: De Fiore
Author-Name: Alexis Maurin
Author-X-Name-First: Alexis
Author-X-Name-Last: Maurin
Author-Name: Andrej Mijakovic
Author-X-Name-First: Andrej
Author-X-Name-Last: Mijakovic
Author-Name: Damiano Sandri
Author-X-Name-First: Damiano
Author-X-Name-Last: Sandri
Title: Monetary policy in the news: communication pass-through and inflation expectations
Abstract: We analyse the media's role in channelling information about the Fed's monetary policy stance to the public. Using LLMs, we find a tight correspondence between FOMC communication and media coverage, although with significant variation over time. The communication pass-through weakened during the ZLB period and improved with the introduction of press conferences, which now exert strong influence on the media. Media coverage effects households' inflation expectations, particularly when inflation is high and volatile, while we do not detect a direct impact of FOMC communication. This underscores the media's crucial function in channelling central banks' communication to the public.
Creation-Date: 2024-12
File-URL: https://www.bis.org/publ/work1231.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1231.htm
File-Format: text/html
Number: 1231
Keywords: central bank communication, media coverage, large language models, households' expectations
Classification-JEL: E50, E52, E58
Handle: RePEc:bis:biswps:1231