TY  - JOUR
AU  - Cieslak, Anna
AU  - Schrimpf, Andreas
TI  - Non-Monetary News in Central Bank Communication
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 25032
PY  - 2018
Y2  - September 2018
DO  - 10.3386/w25032
UR  - http://www.nber.org/papers/w25032
L1  - http://www.nber.org/papers/w25032.pdf
N1  - Author contact info:
Anna Cieslak
Fuqua School of Business
Duke University
P.O. Box 90120
Durham, NC 27708
Tel: 919/660-7879
E-Mail: Anna.cieslak@duke.edu

Andreas Schrimpf
Bank for International Settlements 
Centralbahnplatz 2 4002 
Basel 
Switzerland
E-Mail: Andreas.Schrimpf@bis.org
M1  - published as Anna Cieslak, Andreas Schrimpf. "Non-Monetary News in Central Bank Communication," in Jordi Galí and Kenneth West, organizers, "NBER International Seminar on Macroeconomics 2018" Journal of International Economics (Elsevier), volume 118 (2019)

M3  - presented at "International Seminar on Macroeconomics", June 29-30, 2018
AB  - We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news composition depending on the communication channel used by central banks.  Non-monetary news prevails in about 40% of policy decision announcements by the Fed and the ECB, and this fraction is even higher for communications that provide context to policy decisions such as press conferences. We show that non-monetary news accounts for a significant part of financial markets' reaction during the financial crisis and in the early recovery, while monetary shocks gain importance since 2013.
ER  -