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Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 20-2010
Verlag: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Zusammenfassung: 
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.
Schlagwörter: 
Bank of Canada
central bank communication
financial markets
media coverage
monetary policy
JEL: 
E52
G14
G15
Dokumentart: 
Working Paper

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