ارتباطات بانک مرکزی کانادا پوشش رسانه ای و واکنش بازار مالی

We examine how Bank of Canada communications and media reporting on them impacts Canadian bond and stock market returns. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market.

In recent literature, central bank communication is identified via either (i) (the interpretation of) newswire reports (e.g. Ehrmann and Fratzscher, 2007) or (ii) the written content of original communications (e.g. Hayo et al., 2008). Financial markets react noticeably when either identification channel is used. In the case of Federal Reserve (Fed) communications, there is preliminary evidence that “financial market news is not necessarily created at the time when the information becomes available, but comes into existence only after it goes through a filtering process by the media” (Neuenkirch, 2009, 52). Individual news recipients seemingly ignore relevant information, probably because it is too costly to acquire, and depend on information filters to cope with the flood of daily information.1 In this paper, we explore differences in financial market reaction to newswire reports and original communications. Canada is an interesting country for a case study, since communications by the Bank of Canada (BOC) are well documented. Furthermore, Canada has advanced financial markets, a fact that should ensure frequent coverage of monetary policy events by news agencies. Hayo and Neuenkirch (2010) show that BOC communications exert a significant and economically relevant impact on Canadian financial market returns. Their approach implicitly assumes that financial markets automatically process news at the time the information becomes available. We extend their data set and analyze all types of BOC communications and media reporting on them (Reuters, The Globe and Mail, National Post, and Canadian Press) regarding monetary policy and economic outlook. We address two specific research questions: (1) To what extent is Canadian central bank communication covered by the media? (2) Does media coverage initiate larger reactions on Canadian bond and stock markets than the original communications? To our knowledge, this is the first study to systematically compare the financial market impact of (i) original communications, (ii) reports on these communications in leading national newspapers, and (iii) international news agency coverage of the same.

In this paper, we explore the differences in reaction to newswire reports and original communication, using Canada as a case study. We examine the impact of all types of BOC communications and media reporting on them (Reuters, The Globe and Mail, National Post, and Canadian Press) on Canadian bond and stock market returns using a GARCH model. BOC communications are rather uniformly distributed over the sample period, whereas media coverage is particularly high during two phases of heightened uncertainty about the future course and timing of Canadian monetary policy. In the case of the bond market, more BOC communication variables cause a significant reaction, whereas, on the stock market, newspapers dominate. Media coverage is notably relevant when its interpretation of the BOC communication deviates from the original wording or when it is an exclusive report about central bank communication. Reuters coverage does not play a prominent role in the transmission of central bank communication across Canadian financial markets. In general, media filtering plays a less prominent role in Canada than it does in the United States (see Neuenkirch, 2009), with the exception of the stock market. Canadian market participants directly monitor central bank communication and do not rely on newspapers or news agencies for information.8 There are at least two crucial differences between Canadian and US central bank communication that might explain the difference in findings for these countries. First, the Bank of Canada has a clear inflation-targeting mandate, whereas the Federal Reserve Bank has more discretion as to monetary policy due to its dual mandate. The inflation target makes monetary policy more predictable, and thus attracts less media attention. Second, Bank of Canada officials use communication less frequently than do their Fed counterparts. Fig. 2 compares Canadian communication days (black bars) and US communication days (transparent bars). Market participants in the United States are flooded with official communications from members of the Fed and, therefore, rely on newswire filtering, whereas Canadian market participants can quite easily monitor BOC communication without the aid of filtering. Full-size image (35 K) Fig. 2. Canadian communication days versus US communication days. Figure options Canadian financial markets move in the intended direction after BOC communications and the communications do not require media filtering. Therefore, from the findings of this paper, it is not clear whether the BOC should alter its communication strategy.9