The effect of central bank communication on sovereign bond yields: The case of Hungary.
PLoS One
; 16(2): e0245515, 2021.
Article
em En
| MEDLINE
| ID: mdl-33539389
ABSTRACT
In this article we investigate how the public communication of the Hungarian Central Bank's Monetary Council (MC) affects Hungarian sovereign bond yields. This research ties into the advances made in the financial and political economy literature which rely on extensive textual data and quantitative text analysis tools. While prior research demonstrated that forward guidance, in the form of council meeting minutes or press releases can be used as predictors of rate decisions, we are interested in whether they are able to directly influence asset returns as well. In order to capture the effect of central bank communication, we measure the latent hawkish or dovish sentiment of MC press releases from 2005 to 2019 by applying a sentiment dictionary, a staple in the text mining toolkit. Our results show that central bank forward guidance has an intra-year effect on bond yields. However, the hawkish or dovish sentiment of press releases has no impact on maturities of one year or longer where the policy rate proves to be the most important explanatory variable. Our research also contributes to the literature by applying a specialized dictionary to monetary policy as well as broadening the discussion by analyzing a case from the non-eurozone Central-Eastern region of the European Union.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Assunto principal:
Comunicação
/
União Europeia
/
Contabilidade
Tipo de estudo:
Prognostic_studies
Limite:
Humans
País/Região como assunto:
Europa
Idioma:
En
Revista:
PLoS One
Assunto da revista:
CIENCIA
/
MEDICINA
Ano de publicação:
2021
Tipo de documento:
Article
País de afiliação:
Hungria