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Measuring Communication Quality of Interest Rate Announcements

Author

Listed:
  • Benchimol Jonathan

    (Research Department, Bank of Israel, Jerusalem, Israel)

  • Caspi Itamar

    (Research Department, Bank of Israel, Jerusalem, Israel)

  • Kazinnik Sophia

    (Quantitative Supervision and Research, Federal Reserve Bank of Richmond, Charlotte, NC, United States)

Abstract

We use text-mining techniques to measure the accessibility and quality of information within the texts of interest rate announcements published by the Bank of Israel over the past decade. We find that comprehension of interest rate announcements published by the Bank of Israel requires fewer years of education than interest rate announcements published by the Federal Reserve and the European Central Bank. In addition, we show that the sentiment within these announcements is aligned with economic fluctuations. We also find that textual uncertainty is correlated with the volatility of the domestic financial market.

Suggested Citation

  • Benchimol Jonathan & Caspi Itamar & Kazinnik Sophia, 2023. "Measuring Communication Quality of Interest Rate Announcements," The Economists' Voice, De Gruyter, vol. 20(1), pages 43-53, June.
    • Handle: RePEc:bpj:evoice:v:20:y:2023:i:1:p:43-53:n:7
    DOI: 10.1515/ev-2022-0023
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    References listed on IDEAS

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    1. Claus Brand & Daniel Buncic & Jarkko Turunen, 2010. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1266-1298, December.
    2. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1593-1636.
    3. Tim Loughran & Bill Mcdonald, 2011. "When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks," Journal of Finance, American Finance Association, vol. 66(1), pages 35-65, February.
    4. Bennani, Hamza & Fanta, Nicolas & Gertler, Pavel & Horvath, Roman, 2020. "Does central bank communication signal future monetary policy in a (post)-crisis era? The case of the ECB," Journal of International Money and Finance, Elsevier, vol. 104(C).
    5. Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013. "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 81-92.
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    Cited by:

    1. Vyshnevskyi, Iegor & Jombo, Wytone & Sohn, Wook, 2024. "The clarity of monetary policy communication and financial market volatility in developing economies," Emerging Markets Review, Elsevier, vol. 59(C).
    2. Curti, Filippo & Kazinnik, Sophia, 2023. "Central bank communication and website characteristics," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1216-1241.

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    More about this item

    Keywords

    text mining; central bank communication; monetary policy; financial stability;
    All these keywords.

    JEL classification:

    • A12 - General Economics and Teaching - - General Economics - - - Relation of Economics to Other Disciplines
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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