Understanding the impact of monetary policy announcements: The importance of language and surprises

Smales L. A.; Apergis N.

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Understanding the impact of monetary policy announcements: The importance of language and surprises

机译：了解货币政策公告的影响：语言和惊喜的重要性

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Monetary policy announcements have a significant impact on financial market liquidity. This study provides a novel perspective on the factors driving this relationship in the market for 10-year Treasury note futures: Target rate surprises and the complexity of the monetary policy statement language are important determinants. Differences of opinion resulting from interpretation of complex language appear to result in more trading volume despite relatively low levels of liquidity (a negative liquidity-volume relationship), while large target rate surprises reduce trading activity (a positive liquidity-volume relationship). The dynamic changes over time, as unconventional polices are adopted by monetary authorities and, high frequency traders become more pervasive. Central bankers may aid market liquidity by minimizing surprises, and issuing statements that are easier to understand (with shorter sentences and more familiar words). (C) 2017 Elsevier B.V. All rights reserved.

机译：货币政策公告对金融市场流动性具有重大影响。这项研究为驱动10年期美国国债期货市场上这种关系的因素提供了新颖的观点：目标利率的意外性和货币政策声明语言的复杂性是重要的决定因素。尽管流动性相对较低（流动性与数量之间的关系为负），复杂语言的解释导致的意见分歧似乎会导致更多的交易量，而大幅度的目标利率突降会减少交易活动（流动性与数量之间的关系为正）。随着时间的推移，动态变化，因为货币当局采用了非常规政策，高频交易者变得更加普遍。中央银行可以通过最大程度地减少意外并发布更易于理解的语句（用较短的句子和更熟悉的词）来帮助市场流动性。（C）2017 Elsevier B.V.保留所有权利。

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来源
《Journal of banking & finance》 |2017年第7期|33-50|共18页
作者
Smales L. A.; Apergis N.;
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作者单位

Curtin Univ, Curtin Grad Sch Business, Bentley, WA, Australia;

Univ Piraeus, Dept Banking & Financial Management, Piraeus, Greece;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Monetary policy decisions; Financial markets; Federal Reserve; Linguistic complexity; FOMC statements; 10-year Treasury note futures;

机译：货币政策决定;金融市场;联邦储备;语言复杂性;FOMC声明;10年期美国国债期货;

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机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Understanding the impact of monetary policy announcements: The importance of language and surprises

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