{"id":1028,"date":"2019-12-03T17:35:19","date_gmt":"2019-12-03T15:35:19","guid":{"rendered":"http:\/\/www.christophbertsch.com\/?p=1028"},"modified":"2020-04-04T00:36:59","modified_gmt":"2020-04-03T22:36:59","slug":"forthcoming-in-the-journal-of-international-money-and-finance-spread-the-word-international-spillovers-from-central-bank-communication","status":"publish","type":"post","link":"https:\/\/www.christophbertsch.com\/?p=1028","title":{"rendered":"Forthcoming in the Journal of International Money and Finance: &#8220;Spread the Word: International Spillovers from Central Bank Communication&#8221;"},"content":{"rendered":"<p><strong><a title=\"Spread the Word: International Spillovers from Central Bank Communication\" href=\"https:\/\/doi.org\/10.1016\/j.jimonfin.2019.102116\" target=\"_blank\" rel=\"noopener noreferrer\">&#8220;Spread the Word: International Spillovers from Central Bank Communication&#8221;<\/a><\/strong> with Hanna Armelius, <a title=\"Isaiah Hull's homepage\" href=\"http:\/\/www.isaiahhull.com\" target=\"_blank\" rel=\"noopener noreferrer\">Isaiah Hull<\/a> and <a title=\"Xin Zhang's homepage\" href=\"http:\/\/sites.google.com\/site\/zhangxinphd\/\" target=\"_blank\" rel=\"noopener noreferrer\">Xin Zhang<\/a>, <em>Journal of International Money and Finance<\/em>, Volume 103, Pages 1-32, May 2020. <em> &#8211; Lead article &#8211; <\/em><\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li>Abstract:\u00a0<span style=\"font-size: inherit;\">We construct a novel text dataset to measure the sentiment component of communications for 23 central banks over the 2002-2017 period. Our analysis yields three results. First, comovement in sentiment across central banks is not reducible to trade or financial flow exposures. Second, sentiment shocks generate cross-country spillovers in sentiment, policy rates, and macroeconomic variables; and the Fed appears to be a uniquely influential generator of such spillovers, even among prominent central banks. And third, geographic distance is a robust and economically significant determinant of comovement in central bank sentiment, while shared language and colonial ties have weaker predictive power. (JEL E52, E58, F42)<\/span><\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<div id=\"attachment_1041\" style=\"width: 510px\" class=\"wp-caption aligncenter\"><img loading=\"lazy\" decoding=\"async\" aria-describedby=\"caption-attachment-1041\" class=\"wp-image-1041 size-full\" src=\"http:\/\/www.christophbertsch.com\/wp-content\/uploads\/2020\/03\/ecb_sentiment_rolling-e1584526640768.jpg\" alt=\"\" width=\"500\" height=\"333\" \/><p id=\"caption-attachment-1041\" class=\"wp-caption-text\">The figure show the normalized rolling net sentiment scores associated with ECB speeches. Sentiment scores are computed using a dictionary-based approach documented in Loughran and McDonald (2011).<\/p><\/div>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li>Keywords: communication, monetary policy, international policy transmission.<\/li>\n<li>A recent version is available as\u00a0<a title=\"Sveriges Riksbank Working Paper No. 357\" href=\"https:\/\/www.riksbank.se\/globalassets\/media\/rapporter\/working-papers\/2019\/no.-357-spread-the-word-international-spillovers-from-central-bank-communication-revised-november-2019.pdf\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Sveriges Riksbank Working Paper No. 357<\/em><\/a><\/li>\n<\/ul>\n<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>&#8220;Spread the Word: International Spillovers from Central Bank Communication&#8221; with Hanna Armelius, Isaiah Hull and Xin Zhang, Journal of International Money and Finance, Volume 103, Pages 1-32, May 2020. &#8211; Lead article &#8211; Abstract:\u00a0We construct a novel text dataset to &hellip; <a href=\"https:\/\/www.christophbertsch.com\/?p=1028\">Continue reading <span class=\"meta-nav\">&rarr;<\/span><\/a><\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[6,77,75,49,76],"tags":[78],"class_list":["post-1028","post","type-post","status-publish","format-standard","hentry","category-academic-research","category-central-bank-communication","category-international-policy-transmission","category-monetary-policy","category-textual-analysis","tag-journal-of-international-money-and-finance"],"_links":{"self":[{"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=\/wp\/v2\/posts\/1028","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1028"}],"version-history":[{"count":2,"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=\/wp\/v2\/posts\/1028\/revisions"}],"predecessor-version":[{"id":1075,"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=\/wp\/v2\/posts\/1028\/revisions\/1075"}],"wp:attachment":[{"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1028"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1028"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.christophbertsch.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1028"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}