Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56499 
Year of Publication: 
2010
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 20-2010
Publisher: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Abstract: 
We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998-2006); however, media coverage is particularly high during phases of increased uncertainty about the future course and timing of Canadian monetary policy. Official communications exert a larger influence on the bond market, whereas media coverage is more relevant for the stock market. In general, media filtering does not play a prominent role.
Subjects: 
Bank of Canada
central bank communication
financial markets
media coverage
monetary policy
JEL: 
E52
G14
G15
Document Type: 
Working Paper

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