It's not always about the money, sometimes it's about sending a message: Evidence of Informational Content in Monetary Policy Announcements

Fiche du document

Auteurs
Date

11 novembre 2021

Discipline
Type de document
Périmètre
Identifiant
  • 2111.06365
Source

arXiv - économie

Collection

arXiv

Organisation

Cornell University

Mots-clés 0

Economics - General Economics

Sujets proches En

Economic theory Political economy

Citer ce document

Yong Cai et al., « It's not always about the money, sometimes it's about sending a message: Evidence of Informational Content in Monetary Policy Announcements », arXiv - économie

Partage / Export

Résumé 0

This paper introduces a transparent framework to identify the informational content of FOMC announcements. We do so by modelling the expectations of the FOMC and private sector agents using state of the art computational linguistic tools on both FOMC statements and New York Times articles. We identify the informational content of FOMC announcements as the projection of high frequency movements in financial assets onto differences in expectations. Our recovered series is intuitively reasonable and shows that information disclosure has a significant impact on the yields of short-term government bonds.

document thumbnail

Par les mêmes auteurs

Sur les mêmes sujets

Sur les mêmes disciplines

Exporter en