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The Missing Surprise: Transmission Protection in Central Bank Announcements

Author

Listed:
  • Grosse Steffen, Christoph
  • Lewis, Daniel
  • Lhuissier, Stéphane

Abstract

Central bank communications frequently contain information about financial-market backstops that affect monetary policy transmission. We identify these transmission protection surprises in the euro area, alongside policy stance and central bank information surprises, by exploiting heteroskedasticity in minute-by-minute asset price movements. Unlike standard factor models, our approach allows active policy dimensions and their impacts to vary across events. Event-specific decompositions quantify the narrative record and reveal substantial heterogeneity of effects across announcements. We show that transmission protection is a distinct dimension of central bank announcements, with financial-market effects separate from both policy stance and information shocks.

Suggested Citation

  • Grosse Steffen, Christoph & Lewis, Daniel & Lhuissier, Stéphane, 2026. "The Missing Surprise: Transmission Protection in Central Bank Announcements," CEPR Discussion Papers 21692, Centre for Economic Policy Research.
    • Handle: RePEc:cpr:ceprdp:21692
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    Keywords

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    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
    • F45 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Macroeconomic Issues of Monetary Unions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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