Non-monetary news in central bank communication
利用四大央行数据，将央行沟通中的新闻分解为货币新闻和非货币新闻（经济增长和风险溢价新闻），发现非货币新闻在新闻发布会和会议纪要中占比过半，并在金融危机和早期复苏中驱动金融市场反应。
Using evidence from four major central banks, we decompose news conveyed by central-bank communication into news about monetary policy (monetary news), as well as non-monetary news, i.e., news about economic growth and news affecting financial risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across maturities in the yield curve. We find significant differences in the news composition depending on the communication channel used by central banks. Monetary news prevails in policy decision announcements. However, the non-monetary component accounts for more than half of communications that provide context to policy decisions such as press conferences and minutes. We show that non-monetary news drives a significant part of financial markets' reaction during the financial crisis and in the early recovery, while monetary news gains importance since 2013.