Larger changes in policy statements lead to more volatility – paper
Research considers how much similarity matters for reception
The more changes in the wording of a monetary policy statement, the higher the volatility in financial markets, a working paper published by the Bank of Canada has suggested.
Authors Michael Ehrmann and Jonathan Talmi use data from the central bank's own statements to decipher to what extent similarities matter for the reception of their content in financial markets.
Their paper, Starting from a blank page? Semantic similarity in central bank communication and market volatility, finds greater
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