Bank of Canada Communication, Media Coverage, and Financial Market Reactions

Abstract:     
In the literature, central bank communication is identified via either (i) the written content of original communications or (ii) newswire reports. We examine how (i) Bank of Canada communications and (ii) media reporting on them impacts Canadian bond and stock market returns using a GARCH model over the period 1998–2006. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not appear to play a prominent role.

Number of Pages in PDF File: 10

Keywords: Bank of Canada, Central Bank Communication, Financial Markets, Media Coverage, Monetary Policy

JEL Classification: E52, G14, G15

working papers series