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Bank of Canada Communication, Media Coverage, and Financial Market Reactions

Author

Listed:
  • Bernd Hayo

    (Philipps-University Marburg)

  • Matthias Neuenkirch

    (Philipps-University Marburg)

Abstract

In the literature, central bank communication is identified via either (i) the written content of original communications or (ii) newswire reports. We examine how (i) Bank of Canada communications and (ii) media reporting on them impacts Canadian bond and stock market returns using a GARCH model over the period 1998–2006. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not appear to play a prominent role.

Suggested Citation

  • Bernd Hayo & Matthias Neuenkirch, 2010. "Bank of Canada Communication, Media Coverage, and Financial Market Reactions," MAGKS Papers on Economics 201020, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:201020
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    File URL: https://www.uni-marburg.de/en/fb02/research-groups/economics/macroeconomics/research/magks-joint-discussion-papers-in-economics/papers/2010-papers/20-2010_hayo.pdf
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    Citations

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    Cited by:

    1. Matthias Neuenkirch, 2014. "Federal Reserve communications and newswire coverage," Applied Economics, Taylor & Francis Journals, vol. 46(25), pages 3119-3129, September.
    2. Mr. Andrea Pescatori, 2018. "Central Bank Communication and Monetary Policy Surprises in Chile," IMF Working Papers 2018/156, International Monetary Fund.
    3. Li, Geling & Ren, Kangjun & Qiao, Yuhao & Wu, Bao, 2024. "From framing to priming: How does media coverage promote ESG preferences of institutional investors," Emerging Markets Review, Elsevier, vol. 63(C).
    4. Thiago Cacicedo Cidad & Gabriel Caldas Montes, 2016. "Does Central Bank’S Perception Regarding The State Of The Economy Affect Entrepreneurs’ Expectations? Are Entrepreneurs’ Expectations Important For Investment? Empirical Evidence From Brazil," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 035, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    5. Rafał Wolski & Monika Bolek & Jerzy Gajdka & Janusz Brzeszczyński & Ali M. Kutan, 2023. "Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 15(5), pages 757-794, February.
    6. Daphne Sobolev & Bryan Chan & Nigel Harvey, 2017. "Buy, sell, or hold? A sense-making account of factors influencing trading decisions," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1295618-129, January.
    7. Ehrmann, Michael & Talmi, Jonathan, 2020. "Starting from a blank page? Semantic similarity in central bank communication and market volatility," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 48-62.
    8. Rodolfo Tomás Da Fonseca Nicolay & Gabriel Caldas Montes, 2014. "Comunicação Do Banco Central,Expectativas De Inflação E Profecia Auto-Realizável: Evidências Para Obrasil," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 046, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    9. Gabriel Caldas Montes & Rodolfo Tomás da Fonseca Nicolay, 2015. "Central bank’s perception on inflation and inflation expectations of experts," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(6), pages 1142-1158, November.
    10. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    11. Saskia Ter Ellen & Vegard H. Larsen & Leif Anders Thorsrud, 2022. "Narrative Monetary Policy Surprises and the Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1525-1549, August.
    12. Hassan, M. Kabir & Hasan, Md. Bokhtiar & Halim, Zairihan Abdul & Maroney, Neal & Rashid, Md. Mamunur, 2022. "Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    13. Lamla, Michael J. & Vinogradov, Dmitri V., 2019. "Central bank announcements: Big news for little people?," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 21-38.

    More about this item

    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
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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