This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The effect of the MNB’s communication on financial markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Péter Gábriel () (Magyar Nemzeti Bank)
Klára Pintér () (Magyar Nemzeti Bank)

Additional information is available for the following registered author(s):

Abstract

Our paper aims to assess how the Magyar Nemzeti Bank’s communication affects financial asset prices. We find that the central bank plays the most important role in influencing long-term yields. The effect on the exchange rate is less pronounced, while short-term yields are influenced only by the communication related to the exchange rate. Analysing the direction and channels of communication we observe two asymmetries. The central bank is more successful in signalling monetary policy tightening than easing and with the increase of time horizon the written communication gains in importance and dominates the verbal forms.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://english.mnb.hu/Resource.aspx?ResourceID=mnbfile&resourcename=wp2006_9
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Magyar Nemzeti Bank (The Central Bank of Hungary) in its series MNB Working Papers with number 2006/9.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 55 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:mnb:wpaper:2006/9

Contact details of provider:
Web page: http://www.mnb.hu/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Daniella Toth).

Related research
Keywords: communication; transmission mechanism.;

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Rasmus Fatum & Michael M. Hutchison, . "ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention," EPRU Working Paper Series 02-10, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
  2. Rozkrut, Marek & Rybinski, Krzysztof & Sztaba, Lucyna & Szwaja, Radoslaw, 2007. "Quest for central bank communication: Does it pay to be "talkative"?," European Journal of Political Economy, Elsevier, vol. 23(1), pages 176-206, March. [Downloadable!] (restricted)
  3. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  4. Siklos, Pierre & Bohl , Martin, 2006. "Policy words and policy deeds: the ECB and the euro," Research Discussion Papers 2/2006, Bank of Finland. [Downloadable!]
    Other versions:
  5. Daniel Kahneman, 2003. "Maps of Bounded Rationality: Psychology for Behavioral Economics," American Economic Review, American Economic Association, vol. 93(5), pages 1449-1475, December. [Downloadable!]
  6. Áron Gereben & Klára Pintér, 2005. "Implied volatility of foreign exchange options: is it worth tracking?," MNB Occasional Papers 2005/39, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
  7. Joe Peek & Eric S. Rosengren & Geoffrey M. B. Tootell, 1999. "Is bank supervision central to central banking?," Working Papers 99-7, Federal Reserve Bank of Boston. [Downloadable!]
    Other versions:
  8. Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Annual Conference Volume, in: Christopher Kent & Simon Guttmann (ed.), The Future of Inflation Targeting Reserve Bank of Australia. [Downloadable!]
    Other versions:
  9. Rasmus Fatum & Michael Hutchison, 2002. "ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News, and Intervention," Open Economies Review, Springer, vol. 13(4), pages 413-425, October. [Downloadable!] (restricted)
  10. Christina D. Romer & David H. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, vol. 90(3), pages 429-457, June. [Downloadable!] (restricted)
  11. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics. [Downloadable!]
    Other versions:
  12. Michael Ehrmann & Marcel Fratzscher, 2005. "Communication and decision-making by central bank committees - different strategies, same effectiveness?," Working Paper Series 488, European Central Bank. [Downloadable!]
  13. Marcel Fratzscher, 2004. "Communication and exchange rate policy," Working Paper Series 363, European Central Bank. [Downloadable!]
    Other versions:
  14. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  15. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June. [Downloadable!] (restricted)
    Other versions:
  16. David-Jan Jansen & Jakob de Haan, 2005. "Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements," DNB Working Papers 033, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  17. Rachel Reeves & Michael Sawicki, 2005. "Do financial markets react to Bank of England communication?," Discussion Papers 15, Monetary Policy Committee Unit, Bank of England. [Downloadable!]
  18. Donald L. Kohn & Brian P. Sack, 2003. "Central bank talk: does it matter and why?," Finance and Economics Discussion Series 2003-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  19. William Poole, 2001. "Central bank transparency: why and how?," Speech, Federal Reserve Bank of St. Louis. [Downloadable!]
  20. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November. [Downloadable!] (restricted)
    Other versions:
  21. Gyula Barabás (ed.) & Csaba Balogh & Tamás Czeti & Szilárd Erhart & Zsolt Érsek & András Kármán & Gergely Kóczán & Róbert Rékási, 2003. "Coping with the speculative attack against the forint's band," MNB Background Studies (discontinued) 2003/3, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
  22. Joe Peek & Eric S. Rosengren & Geoffrey M. B. Tootell, 1999. "Using bank supervisory data to improve macroeconomic forecasts," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 21-32. [Downloadable!]
  23. Jansen, David-Jan & De Haan, Jakob, 2005. "Talking heads: the effects of ECB statements on the euro-dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 343-361, March. [Downloadable!] (restricted)
  24. David-Jan Jansen & Jakob de Haan, 2004. "Look Who's Talking: ECB communication during the first years of EMU," DNB Working Papers 007, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  25. Norbert Kiss M., 2004. "The Effects of Macroeconomic News on Money Markets," MNB Occasional Papers 2004/30, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
Full references

Statistics
Access and download statistics

Did you know? Authors registered on the RePEc Author Service receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.