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Four Facts about International Central Bank Communication

Author

Listed:
  • Bertsch, Christoph

    (Research Department, Central Bank of Sweden)

  • Hull, Isaiah

    (BI Norwegian Business School; CogniFrame)

  • Lumsdaine, Robin L.

    (Kogod School of Business, American University; Erasmus University Rotterdam; National Bureau of Economic Research (NBER); Tinbergen Institute; Center for Financial Stability)

  • Zhang, Xin

    (Research Department, Central Bank of Sweden)

Abstract

This paper introduces a novel database of text features extracted from the speeches of 53 central banks from 1996 to 2023 using state-of-the-art NLP methods. We establish four facts: (1) central banks with floating and pegged exchange rates communicate differently, and these differences are particularly pronounced in discussions about exchange rates and the dollar, (2) communication spillovers from the Federal Reserve are prominent in exchange rate and dollar-related topics for dollar peggers and in hawkish sentiment for others, (3) central banks engage in FX intervention guidance, and (4) more transparent institutions are less responsive to political pressure in their communication.

Suggested Citation

  • Bertsch, Christoph & Hull, Isaiah & Lumsdaine, Robin L. & Zhang, Xin, 2024. "Four Facts about International Central Bank Communication," Working Paper Series 432, Sveriges Riksbank (Central Bank of Sweden).
    • Handle: RePEc:hhs:rbnkwp:0432
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    More about this item

    Keywords

    Exchange Rates; Natural Language Processing (NLP); International Spillovers; Monetary Policy;
    All these keywords.

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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