Does People’s Bank of China communication matter? Evidence from stock market reaction

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dc.contributor Bank of Finland Bennani, Hamza 2019-04-25T09:31:04Z 2019-04-25T09:31:04Z 2019
dc.identifier.isbn 978-952-323-272-3
dc.identifier.issn 1456-5889
dc.description.abstract This paper tests whether the People's Bank of China's communication affects expectations of market participants and matters as a monetary policy instrument. For that purpose, we first rely on a computational linguistic tool to measure the tone of PBC speeches and second, we use a high frequency methodology to estimate the effect of tone on stock prices. Our results show that positive changes of the tone affect positively stock prices in the Shanghai and the Shenzhen stocks markets. Additional extensions show that PBC communication does not have a persistent e ect on stock prices and that the tone of PBC communication still has a positive and significant impact on stock prices even when controlling for all the monetary policy instruments implemented by the central bank. Hence, our findings show that PBC communication matters as a monetary policy instrument to shape market expectations and to move asset prices.
dc.format.extent 21
dc.language.iso ENG
dc.subject Bofit-kokoelma
dc.subject SP
dc.subject RP ST
dc.subject.other Central Bank Communication
dc.subject.other People's Bank of China Sentiment
dc.subject.other Financial Markets
dc.title Does People’s Bank of China communication matter? Evidence from stock market reaction
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201904251162
dc.subject.jel E52
dc.subject.jel E58 BOFIT Discussion Papers
dc.series.year 2019
dc.series.number 9/2019
dc.series.sortingnumber 0009 25.4.2019
dc.subject.yso keskuspankit
dc.subject.yso viestintä
dc.subject.yso rahoitusmarkkinat
dc.subject.yso odotukset
dc.subject.yso osakkeet
dc.subject.yso hinnat
dc.subject.yso rahapolitiikka
dc.subject.yso osakemarkkinat
dc.identifier.doi 10.1016/j.ememar.2019.05.002
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)
dc.description.publication Published online in Emerging Markets Review, May 2019
bof-internal.includedInCRIS 1
dc.type.okm D4

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