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Bank of Canada communication, media coverage, and financial market reactions

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  • Hayo, Bernd
  • Neuenkirch, Matthias

Abstract

We examine how Bank of Canada communications and media reporting on them impacts Canadian bond and stock market returns. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 3 ()
Pages: 369-372

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:369-372

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Bank of Canada; Central bank communication; Financial markets; Media coverage; Monetary policy;

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References

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  1. Bernd Hayo & Matthias Neuenkirch, 2012. "Domestic Or U.S. News: What Drives Canadian Financial Markets?," Economic Inquiry, Western Economic Association International, vol. 50(3), pages 690-706, 07.
  2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  3. Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
  4. Michael Ehrmann & Marcel Fratzscher, 2007. "Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 509-541, 03.
  5. Bernd Hayo & Matthias Neuenkirch, 2009. "Canadian Interest Rate Setting: The Information Content of Canadian and U.S. Central Bank Communication," MAGKS Papers on Economics 200935, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  7. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, September.
  8. Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2008. "Financial Market Reaction to Federal Reserve Communications: Does the Crisis Make a Difference?," MAGKS Papers on Economics 200808, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
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Cited by:
  1. Matthias Neuenkirch, 2014. "Federal Reserve Communications and Newswire Coverage," Working Papers CEB 14-003, ULB -- Universite Libre de Bruxelles.

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