Template-Type: ReDIF-Paper 1.0
Author-Name: Hanna Armelius
Author-X-Name-First: Hanna
Author-X-Name-Last: Armelius
Author-Name: Christoph Bertsch
Author-X-Name-First: Christoph
Author-X-Name-Last: Bertsch
Author-Name: Isaiah Hull
Author-X-Name-First: Isaiah
Author-X-Name-Last: Hull
Author-Name: Xin Zhang
Author-X-Name-First: Xin
Author-X-Name-Last: Zhang
Title: Spread the Word: International Spillovers from Central Bank Communication
Abstract: We construct a novel text dataset to measure the sentiment component of communications for 23 central banks over the 2002-2017 period. Our analysis yields three results. First, comovement in sentiment across central banks is not reducible to trade or financial flow exposures. Second, sentiment shocks generate cross-country spillovers in sentiment, policy rates, and macroeconomic variables; and the Fed appears to be a uniquely influential generator of such spillovers, even among prominent central banks. And third, geographic distance is a robust and economically significant determinant of comovement in central bank sentiment, while shared language and colonial ties have weaker predictive power.
Length: 55 pages
Creation-Date: 2019-12
File-URL: https://www.bis.org/publ/work824.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work824.htm
File-Format: text/html
Number: 824
Classification-JEL: E52, E58, F42
Keywords: communication, monetary policy, international policy transmission
Handle: RePEc:bis:biswps:824