Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/228241 
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2363
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Why do long-run interest rates respond to central bank communication? Whereas existing explanations imply a common set of signals drives short and long-run yields, we show that news on economic uncertainty can have increasingly large effects along the yield curve. To evaluate this channel, we use the publication of the Bank of England's Inflation Report, from which we measure a set of highdimensional signals. The signals that drive long-run interest rates do not affect short-run rates and operate primarily through the term premium. This suggests communication plays an important role in shaping perceptions of long-run uncertainty.
Subjects: 
Monetary Policy
Communication
Machine Learning
JEL: 
E52
E58
C55
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4006-1
Document Type: 
Working Paper

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