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Title:Text mining and the information content of Bank of Canada communications PDF Logo
Authors:Hendry, Scott
Madeley, Alison
Issue Date:2010
Series/Report no.:Bank of Canada Working Paper 2010,31
Abstract:This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. Discussions about geopolitical risk and other external shocks, major domestic shocks (SARS and BSE), the balance of risks to the economic projection, and various forward looking statements are found to significantly affect market returns and volatility, especially for short-term markets. This effect is over and above that from the information contained in any policy interest rate surprise.
Subjects:Financial markets
Monetary policy implementation
JEL:G14
E58
Document Type:Working Paper
Appears in Collections:Bank of Canada Working Papers

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