Central Bank Communication

Lead Research Organisation: University of Oxford
Department Name: Economics

Abstract

My research project is centred around understanding how Central Banks communicate. I use a combination of Natural Language processing, econometrics, and economic theory to analyse optimal communication strategies and their impact on agents' beliefs and financial markets. One paper in my thesis will use high frequency identification in option markets around Bank of England communication events to evaluate how communication effects the higher moments of the expected distribution of policy rates, and link this evidence to the famous Morris and Shin (2002) result regarding when it is optimal for Central Banks to be ambiguous in their communication strategy.

Publications

10 25 50

Studentship Projects

Project Reference Relationship Related To Start End Student Name
ES/P000649/1 01/10/2017 30/09/2027
1926832 Studentship ES/P000649/1 01/10/2017 30/09/2021 Timothy Munday
 
Description Central Bank communication is important for explaining variance in higher moments in financial markets.
Central Bank communication in the press is based on the content and linguistic features of Central Bank text.
Exploitation Route The Bank of England may well use the research to inform their communication strategy.
Sectors Other
 
Description Central Bank Communication in the News 
Organisation Bank of England
Country United Kingdom 
Sector Private 
PI Contribution I worked as an intern at the Bank of England over the summer. Whilst there I started a collaborative project with James Brookes looking at how Bank communication is transmitted into the news. This is soon to be a working paper. I wrote the model, devised the NLP methodologies, and the estimation procedure, did the robustness checks, and ran the survey section.
Collaborator Contribution James has measured the linguistic features of Bank text.
Impact It will be a BoE working paper
Start Year 2019