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2020•RePEc: Research Papers in EconomicsRequires access

Assessing central bank communication through monetary policy statements: Results for Colombia, Chile and Peru

Marco Vega, Erick Lahura

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Abstract

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.

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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.

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Available abstract

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.

Key concepts: Monetary policy, Central bank, Inflation (cosmology), Inflation targeting, Economics, Tone (literature), Monetary economics, Macroeconomics

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