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In the literature, central bank communication is identified either via (the interpretation of) newswire reports or the written content of original communications. The authors examine the impact of Bank of Canada communications and media reporting on them on Canadian bond and stock market returns using a GARCH model over the period 1998-2006. Official communications exert a larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not play a prominent role.
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