Hansen, Stephen and McMahon, Michael F. (2016) Shocking language : understanding the macroeconomic effects of central bank communication. Journal of International Economics, 99 . S114-S133. doi:10.1016/j.jinteco.2015.12.008 ISSN 0022-1996.

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Abstract

We explore how the multi-dimensional aspects of information released by the FOMC has effects on both market and real economic variables. Using tools from computational linguistics, we measure the information released by the FOMC on the state of economic conditions, as well as the guidance the FOMC provides about future monetary policy decisions. Employing these measures within a FAVAR framework, we find that shocks to forward guidance are more important than the FOMC communication of current economic conditions in terms of their effects on market and real variables. Nonetheless, neither communication has particularly strong effects on real economic variables.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	United States. Federal Open Market Committee, Monetary policy -- United States -- 21st Century, Banks and banking, Central
Journal or Publication Title:	Journal of International Economics
Publisher:	Elsevier BV
ISSN:	0022-1996
Official Date:	March 2016
Dates:	Date Event March 2016 Published 31 December 2015 Available 22 December 2015 Accepted
Volume:	99
Page Range:	S114-S133
DOI:	10.1016/j.jinteco.2015.12.008
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Date of first compliant deposit:	31 January 2017
Date of first compliant Open Access:	30 June 2017
Funder:	Bank of England. Houblon-Norman Fund, British Academy (BA)

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