Assessing central bank communication through monetary policy statements: Results for Colombia, Chile and Peru.
Por Erick Lahura ; Marco Vega
December 2020
Idioma: English
Keywords
- communication
- inflation expectations
- monetary policy
Clasificación JEL:
- D83
- D84
- E52
- E58
Resumen:
We build central-bank-specific dictionaries to obtain monetary policy tone indicators from published press releases about policy decisions. Tone indicators and their decomposition into different topical sources provide important information on monetary policy. We include the indicator in a number of structural VAR models to assess the effect of communication shocks on inflation expectations. We find some evidence on the effectiveness of communication.