发帖
雷达卡
Macroprudential policy and central bank communication
In response to the financial crisis of 2007-2010, many central banks are getting
involved in macroprudential supervision. Central bank communication will constitute
a central policy tool for that purpose. The paper asks how such communication will
affect financial markets, exploiting the fact that many central banks have had some
financial stability role in the past, and have communicated extensively on this
through the publication of Financial Stability Reports (FSRs) and financial stabilityrelated
statements. Building a unique dataset, it provides an empirical assessment of
the financial market reactions to more than 1000 releases of FSRs and speeches in 36
countries over the past 14 years. The findings suggest that FSRs have a significant
and potentially long-lasting effect on stock market returns, and also tend to reduce
market volatility. Speeches and interviews, in contrast, have little effect on market
returns and tend to increase volatility during tranquil times, but can have a
substantially larger effect during periods of financial stress. Moreover, central bank
communication can affect markets even when leaning against asset price booms. The
findings underline the importance of differentiating between communication tools
and content when designing a communication strategy on macroprudential issues.
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