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Assessing central bank communication through monetary policy statements: Results for Colombia, Chile and Peru

Author

Listed:
  • Vega, Marco

    (Banco Central de Reserva del Perú
    Pontificia Universidad Católica del Perú)

  • Lahura, Erick

    (Banco Central de Reserva del Perú
    Pontificia Universidad Católica del Perú
    Universidad Científica del Sur)

Abstract

We build central-bank-specific dictionaries to obtain monetary policy tone indicators from published press releases about policy decisions. Tone indicators and their decomposition into different topical sources provide important information on monetary policy. We include the indicator in a number of structural VAR models to assess the effect of communication shocks on inflation expectations. We find some evidence on the effectiveness of communication.

Suggested Citation

  • Vega, Marco & Lahura, Erick, 2020. "Assessing central bank communication through monetary policy statements: Results for Colombia, Chile and Peru," Working Papers 2020-017, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2020-017
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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2020/documento-de-trabajo-017-2020.pdf
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    Citations

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    Cited by:

    1. Carotta, Gianni & Mello, Miguel & Ponce, Jorge, 2023. "Monetary policy communication and inflation expectations: New evidence about tone and readability," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).

    More about this item

    Keywords

    Monetary policy; communication; inflation expectations;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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