Bank of Canada Communication, Media Coverage, and Financial Market Reactions
10 Pages Posted: 24 Jun 2010 Last revised: 19 Sep 2011
Date Written: September 19, 2011
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.
Keywords: Bank of Canada, Central Bank Communication, Financial Markets, Media Coverage, Monetary Policy
JEL Classification: E52, G14, G15
Suggested Citation: Suggested Citation