Risk and Uncertainty in Central Bank Signals: An Analysis of Monetary Policy Committee Minutes

35 Pages Posted: 13 Oct 2009

See all articles by Sheila C. Dow

Sheila C. Dow

University of Stirling - Department of Economics; University of Victoria - Faculty of Business

M Klaes

University of Dundee

Alberto Montagnoli

University of Stirling - Department of Economics

Abstract

This paper considers the signalling aspect of monetary policy. We introduce a heuristic framework for the study of signal uncertainty, and use this to analyse the signal uncertainty implicit in the communications of the Bank of England's Monetary Policy Committee (MPC). Our findings suggest that frequencies of key terms expressing signal uncertainty in MPC minutes may either reflect the degree of confidence implicit in MPC deliberations, or offer evidence for the presence of an irreducible kind of signal uncertainty that shows up as white noise, casting doubt on the soundness of the various qualitative uncertainty indices found in the literature.

Suggested Citation

Dow, Sheila C. and Klaes, Matthias and Montagnoli, Alberto, Risk and Uncertainty in Central Bank Signals: An Analysis of Monetary Policy Committee Minutes. Metroeconomica, Vol. 60, Issue 4, pp. 584-618, November 2009. Available at SSRN: https://ssrn.com/abstract=1487303 or http://dx.doi.org/10.1111/j.1467-999X.2008.00356.x

Sheila C. Dow (Contact Author)

University of Stirling - Department of Economics ( email )

Stirling, Scotland FK9 4LA
United Kingdom

University of Victoria - Faculty of Business ( email )

Victoria, British Columbia
Canada

Matthias Klaes

University of Dundee ( email )

University of Dundee
1 Perth road
Dundee, DD1 4HN
United Kingdom

Alberto Montagnoli

University of Stirling - Department of Economics ( email )

Stirling, Scotland FK9 4LA
United Kingdom
+44-0 1786-46-7478 (Phone)
+44-0 1786-46-7469 (Fax)

HOME PAGE: http://www.staff.stir.ac.uk/alberto.montagnoli/

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