IDEAS home Printed from https://ideas.repec.org/p/ukb/wpaper/01-2024.html
   My bibliography  Save this paper

Impact of the Central Bank's Communication on Macrofinancial Outcomes

Author

Listed:
  • Tetiana Yukhymenko

    (National Bank of Ukraine)

  • Oleh Sorochan

    (National Bank of Ukraine)

Abstract

This study explores the impact of central bank communications on a range of macrofinancial indicators. Specifically, we examine whether information posted on the National Bank of Ukraine (NBU) website influences foreign exchange (FX) markets and the inflation expectations of experts. Our main results suggest that the NBU's statements and press releases on monetary policy issues do indeed matter. For instance, we find that exchange rate movements and volatility are negatively correlated with the volumes of publications of the NBU on its official website. However, this effect is noticeably larger for volatility than for exchange rate changes. The impact of communication on FX developments is strongest a week after a news release, and it persists further. Furthermore, the inflation expectations of financial experts, though indifferent to NBU updates overall, turn out to be sensitive to monetary policy announcements. The latter reduces the level of expectations and interest rate movement.

Suggested Citation

  • Tetiana Yukhymenko & Oleh Sorochan, 2024. "Impact of the Central Bank's Communication on Macrofinancial Outcomes," Working Papers 01/2024, National Bank of Ukraine.
    • Handle: RePEc:ukb:wpaper:01/2024
    as

    Download full text from publisher

    File URL: https://bank.gov.ua/admin_uploads/article/WP_2024-01_Yukhymenko_Sorochan.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    central bank communications; monetary policy; FX market; text analysis;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E71 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on the Macro Economy
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ukb:wpaper:01/2024. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Research Unit (email available below). General contact details of provider: https://edirc.repec.org/data/nbugvua.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.