Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53826 
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dc.contributor.authorHendry, Scotten
dc.contributor.authorMadeley, Alisonen
dc.date.accessioned2010-11-23-
dc.date.accessioned2011-12-15T12:56:24Z-
dc.date.available2011-12-15T12:56:24Z-
dc.date.issued2010-
dc.identifier.pidoi:10.34989/swp-2010-31en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2010-31en
dc.subject.jelG14en
dc.subject.jelE58en
dc.subject.ddc330en
dc.subject.keywordFinancial marketsen
dc.subject.keywordMonetary policy implementationen
dc.subject.stwZentralbanken
dc.subject.stwInformationsverbreitungen
dc.subject.stwAnkündigungseffekten
dc.subject.stwAnlageverhaltenen
dc.subject.stwZinsen
dc.subject.stwKanadaen
dc.titleText mining and the information content of Bank of Canada communications-
dc.typeWorking Paperen
dc.identifier.ppn640647820en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:10-31en

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