Journal article
The long-run information effect of central bank communication
- Abstract:
- Why do long-run interest rates respond to central bank communication? Whereas existing explanations imply a common set of signals drives short and long-run yields, we show that news on economic uncertainty can have increasingly large effects along the yield curve. To evaluate this channel, we use the publication of the Bank of England’s Inflation Report, from which we measure a set of high-dimensional signals. The signals that drive long-run interest rates do not affect short-run rates and operate primarily through the term premium. This suggests communication plays an important role in shaping perceptions of long-run uncertainty.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
-
-
(Preview, Supplementary materials, pdf, 2.1MB, Terms of use)
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(Preview, Accepted manuscript, pdf, 1.4MB, Terms of use)
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- Publisher copy:
- 10.1016/j.jmoneco.2019.09.002
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Monetary Economics More from this journal
- Volume:
- 108
- Pages:
- 185-202
- Publication date:
- 2019-09-04
- Acceptance date:
- 2019-09-04
- DOI:
- ISSN:
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0304-3932
- Language:
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English
- Keywords:
- Pubs id:
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pubs:973724
- UUID:
-
uuid:4077dbff-e306-43b4-b4f5-071f024b10cf
- Local pid:
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pubs:973724
- Source identifiers:
-
973724
- Deposit date:
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2019-09-10
- ARK identifier:
Terms of use
- Copyright holder:
- Bank of England
- Copyright date:
- 2019
- Rights statement:
- © 2019 The Bank of England. Published by Elsevier B.V. All rights reserved.
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Elsevier at https://doi.org/10.1016/j.jmoneco.2019.09.002
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