Spread the Word: International Spillovers from Central Bank Communication

55 Pages Posted: 13 Dec 2019

See all articles by Hanna Armelius

Hanna Armelius

Sveriges Riksbank - Ministry of Finance (Sweden)

Christoph Bertsch

Sveriges Riksbank - Research Division

Isaiah Hull

Sveriges Riksbank - Research Division

Xin Zhang

Sveriges Riksbank - Research Division

Multiple version iconThere are 3 versions of this paper

Date Written: December 2, 2019

Abstract

We construct a novel text dataset to measure the sentiment component of communications for 23 central banks over the 2002-2017 period. Our analysis yields three results. First, comovement in sentiment across central banks is not reducible to trade or financial flow exposures. Second, sentiment shocks generate cross-country spillovers in sentiment, policy rates, and macroeconomic variables; and the Fed appears to be a uniquely influential generator of such spillovers, even among prominent central banks. And third, geographic distance is a robust and economically significant determinant of comovement in central bank sentiment, while shared language and colonial ties have weaker predictive power.

Keywords: communication, monetary policy, international policy transmission

JEL Classification: E52, E58, F42

Suggested Citation

Armelius, Hanna and Bertsch, Christoph and Hull, Isaiah and Zhang, Xin (Kelvin), Spread the Word: International Spillovers from Central Bank Communication (December 2, 2019). BIS Working Paper No. 824, Available at SSRN: https://ssrn.com/abstract=3502457

Hanna Armelius (Contact Author)

Sveriges Riksbank - Ministry of Finance (Sweden) ( email )

Sweden

Christoph Bertsch

Sveriges Riksbank - Research Division ( email )

S-103 37 Stockholm
Sweden

Isaiah Hull

Sveriges Riksbank - Research Division ( email )

S-103 37 Stockholm
Sweden

Xin (Kelvin) Zhang

Sveriges Riksbank - Research Division ( email )

S-103 37 Stockholm
Sweden

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