The Communication Effect of Central Bank of Taiwan
Date Issued
2011
Date
2011
Author(s)
Kang, Chi-Hung
Abstract
This paper employs two approaches to investigate the influence of Central Bank communication on financial markets in Taiwan. First, we use the event-study approach to analyze whether the volatility of the asset prices is affected. We identify the event period by the meeting dates of Central Bank of Taiwan. In the second part, we apply GARCH model to examine if the statements, the speeches and the testimonies of Central Bank officials influence the level of the asset prices. The statements are collected from the news reports and are classified into three categories: Economic outlook, monetary policy, and exchange rate.
Our empirical results reveal that the communication after the meetings has insignificant impact on the volatility of the long-term interest rates. As to the communication of Central Bank Officials, the statements regarding monetary policy can effectively move either the short-term or the long-term interest rates, while the statements regarding economic outlook have no significant influence. It is worth noting that, though the statements with respect to the exchange rate are of the highest frequency, they cannot significantly affect the exchange rate.
Subjects
Central Bank
Transparency
Communication
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-100-R98323009-1.pdf
Size
23.54 KB
Format
Adobe PDF
Checksum
(MD5):f793726162f03763ff28ffe0314d5877