EconStor >
Bank of Canada, Ottawa >
Bank of Canada Working Papers >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/53826
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHendry, Scotten_US
dc.contributor.authorMadeley, Alisonen_US
dc.date.accessioned2010-11-23en_US
dc.date.accessioned2011-12-15T12:56:24Z-
dc.date.available2011-12-15T12:56:24Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/53826-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2010,31en_US
dc.subject.jelG14en_US
dc.subject.jelE58en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordMonetary policy implementationen_US
dc.subject.stwZentralbanken_US
dc.subject.stwInformationsverbreitungen_US
dc.subject.stwAnk├╝ndigungseffekten_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwZinsen_US
dc.subject.stwKanadaen_US
dc.titleText mining and the information content of Bank of Canada communicationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn640647820en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Bank of Canada Working Papers

Files in This Item:
File Description SizeFormat
640647820.pdf360.98 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.