Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56513 
Year of Publication: 
2011
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 43-2011
Publisher: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Abstract: 
In this paper, we study the role central bank communication plays in the monetary policy transmission mechanism. We employ the Swiss Economic Institute's Monetary Policy Communicator to measure the future stance of the European Central Bank's monetary policy. Our results indicate that, first, communication influences prices and output. Second, communication partly crowds out the effects of the short-term interest rate as the latter's influence is lower and its implementation lag increases compared to a benchmark model without central bank communication. Future work on monetary policy transmission should incorporate both a short-term interest rate and a communication indicator.
Subjects: 
central bank communication
European Central Bank
monetary policy shocks
monetary policy transmission
vector autoregression
JEL: 
E52
E58
Document Type: 
Working Paper

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