مدیریت انتظارات بازار مالی: نقش شفافیت بانک مرکزی و ارتباطات بانک مرکزی

In this paper, we study the influence of central bank transparency and informal central bank communication on the formation of money market expectations. The sample covers nine major central banks from January 1999 to July 2007. We find, first, that transparency reduces the bias in money market expectations and dampens their variation. Second, informal communications help manage financial market expectations by reducing the variation of expectations. Third, various subcategories of the Eijffinger and Geraats (2006) transparency index lead to a smaller bias in expectations (in particular, evaluation of policy outcome and explanation of interest rate decisions) and to a reduction in the variation of expectations (in particular, explicit prioritization of objectives and provision of information on unanticipated macroeconomic disturbances).

Since the 1990s, central banks across the world have worked hard to increase their transparency: objectives and goals are specified and quantified, macroeconomic forecasts are published, interest rate decisions are announced and immediately explained, and some central banks provide indications of the likely course of monetary policy in the near future.1Geraats (2002) provides a theoretical framework to explain the rationale for increasing central bank transparency and the effects of different types of transparency. She differentiates between five types of transparency (see Fig. 1). Political, economic, and operational transparency have the potential to enhance the credibility of a low inflation monetary policy. Procedural transparency is an obvious determinant of the quality of decision-making, and policy transparency can boost the effectiveness of interest rate setting. Full-size image (17 K) Fig. 1. Theoretical framework for central bank transparency. Figure options The empirical literature mostly finds beneficial effects of transparency. Van der Cruijsen and Eijffinger (2010) review the literature and conclude that transparency (1) improves consensus across forecasters, (2) lowers inflation and anchors inflation expectations, (3) improves the credibility, reputation, and flexibility of central banks, (4) has no obvious influence on output and output variability, and (5) improves policy anticipation.2 The objective of this paper is related to the last point, ‘policy anticipation.’ We examine the impact of transparency on the course of short-term interest rates. One question is of particular interest: Does a higher degree of transparency improve the formation of expectations in the money market in the period between two interest rate decisions? Our survey starts in January 1999 with the inception of the ECB and ends in July 2007.3 We focus on nine countries in this survey: Australia (AUS), Canada (CAN), the Euro area (EMU), Japan (JAP), New Zealand (NZ), Sweden (SWE), Switzerland (SUI), the United Kingdom (UK), and the United States (US). Econometrically, we employ country-specific OLS models and a pooled OLS model to assess the following research questions: (1) Does transparency decrease the expectation bias in money markets? (2) Is the variation of money market expectations reduced by a higher degree of transparency? (3) Is transparency the only factor improving the formation of expectations in money markets or can central banks use frequent informal communication with the public as a substitute for transparency? As endogenous variables, we employ two newly constructed indicators that measure the bias and variation of money market expectations over the entire intermeeting period. The remainder of this paper is organised as follows. Section 2 reviews the literature and explains the paper's contribution. Section 3 introduces the data set and explains our econometric methodology. Section 4 presents the country-specific results for the influence of transparency and communication on central banks’ ability to manage financial market expectations. Section 5 shows the corresponding pooled model results. Section 6 concludes.

In this paper, we study the influence of central bank transparency and informal central bank communication on the formation of money market expectations. The sample covers nine major central banks (RBA, BOC, ECB, BOJ, RBNZ, Riksbank, SNB, BOE, and the Fed) from January 1999 to July 2007. We employ a continuous test for the influence of both factors using two indicators that account for the bias and variation of money market expectations during the entire intermeeting period. Country-specific OLS models and a pooled OLS model reveal several interesting results. First, in the case of the country-specific models, transparency mitigates the bias in money market expectations and dampens the variation of expectations (given an error in expectations). A higher degree of transparency leads to a lower expectation bias in AUS, the EMU, JAP, SUI, and SWE, whereas the variation of expectations is reduced in AUS, CAN, the EMU, SWE, and the UK. In contrast, central bank communication only contributes in the case of the variation indicator. Informal central bank speeches by the BOC, ECB, SNB, Riksbank, and Fed reduce the variation of expectations. Thus, informal communications do help manage financial market expectations but not to the same extent as formal transparency measures. Another finding is that two central banks with a relatively low degree of formal transparency (the SNB and Fed) show the largest coefficients for central bank communication. An increase in informal communications might be a substitute for formal transparency (at least in the case of the variation indicator). The pooled regressions confirm the country-specific results: transparency mitigates the bias and dampens the variation of expectations, whereas communication contributes only in the latter case. Furthermore, we show that formal transparency and informal communication are almost orthogonal in their influence on both variables. Second, the pooled model permits a more detailed examination of the subcategories of the Eijffinger and Geraats (2006) index: all subcategories have a theory-consistent decreasing impact on the bias and variation of money market expectations. However, in our sample, political transparency, procedural transparency, and policy transparency seem to be more important than economic transparency. The detailed data provided by Siklos (2011) also enable assessing 10 out of 15 items of the original questionnaire. In the case of the bias in money market expectations, the regular evaluation of the central bank's policy outcome in light of its macroeconomic objectives (a subcategory of operational transparency) and the provision of an explanation of interest rate decisions (policy transparency) have the largest decreasing influence of the 10 items analysed. An explicit prioritization in the case of multiple objectives (political transparency) and the provision of information on (unanticipated) macroeconomic disturbances (operational transparency) contribute to a lower variation in money market expectations. The countries studied in this paper are relatively homogenous. All of their central banks rely on a short-term interest rate as the main instrument of monetary policy, none of them faces severe inflation problems, and each of them is characterised by a relatively high degree of transparency. Investigating emerging markets that have more variation in their monetary regimes and greater concerns about inflation would be an interesting task for future research.