Does Central Bank Tone Move Asset Prices?
研究发现央行沟通语调的变化对股票价格、利率、信用利差和波动率风险溢价有显著影响，且独立于政策行动和传统货币政策冲击。
Abstract This article shows that changes in the tone of central bank communication have a significant effect on asset prices. Tone captures how the central bank frames economic fundamentals and its monetary policy. A positive tone surprise is associated with increases in stock prices and interest rates, whereas credit spreads and volatility risk premia decrease. These tone effects are robust to controlling for policy actions as well as for conventional measures of monetary policy shocks. Our results suggest that communication tone is a powerful instrument of monetary policy, which affects risk premia embedded in asset prices.