Does financial stability communication affect financial asset prices? Evidence from the Bank of England's communication experiment
研究了2013-2018年英格兰银行金融稳定沟通对金融机构股票收益的影响，发现公告和语气会带来负向异常收益，且这种影响在脱欧公投后更明显。
Abstract This paper examines the Bank of England's (BoE) communication on financial stability between 2013 and 2018. We apply an event study to determine the communication effect on financial institutions' stock market returns. We find that the BoE's announcements generate negative average abnormal returns for non‐banking and banking systems, including the Global Systemically Important Banks. The same effect emerges when we consider the communication's tone. Furthermore, we construct a macroprudential decision communication index and show that the negative impact of the BoE's tone is significant only when the decision communication index value is above average. Moreover, we find evidence that negative abnormal returns tend to appear after the Brexit referendum, while we find positive abnormal returns before that date. Besides, we do not identify a noticeable effect related to communication practices.