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

Hayo, Bernd; Neuenkirch, Matthias

doi:10.2139/ssrn.1628560

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

10 Pages Posted: 24 Jun 2010 Last revised: 19 Sep 2011

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Matthias Neuenkirch

University of Trier - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: September 19, 2011

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.

Keywords: Bank of Canada, Central Bank Communication, Financial Markets, Media Coverage, Monetary Policy

JEL Classification: E52, G14, G15

Suggested Citation: Suggested Citation

Hayo, Bernd and Neuenkirch, Matthias, Bank of Canada Communication, Media Coverage, and Financial Market Reactions (September 19, 2011). Available at SSRN: https://ssrn.com/abstract=1628560 or http://dx.doi.org/10.2139/ssrn.1628560