Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56499
Authors: 
Hayo, Bernd
Neuenkirch, Matthias
Year of Publication: 
2010
Series/Report no.: 
Joint discussion paper series in economics 20-2010
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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