Scandinavian Working Papers in Economics

Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)

No 432: Four Facts about International Central Bank Communication

Christoph Bertsch (), Isaiah Hull (), Robin L. Lumsdaine () and Xin Zhang ()
Additional contact information
Christoph Bertsch: Research Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Isaiah Hull: BI Norwegian Business School; CogniFrame, Postal: Nydalsveien 37, 0484 Oslo, Norway
Robin L. Lumsdaine: Kogod School of Business, American University; Erasmus University Rotterdam; National Bureau of Economic Research (NBER); Tinbergen Institute; Center for Financial Stability
Xin Zhang: Research Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden

Abstract: This paper introduces a novel database of text features extracted from the speeches of 53 central banks from 1996 to 2023 using state-of-the-art NLP methods. We establish four facts: (1) central banks with floating and pegged exchange rates communicate differently, and these differences are particularly pronounced in discussions about exchange rates and the dollar, (2) communication spillovers from the Federal Reserve are prominent in exchange rate and dollar-related topics for dollar peggers and in hawkish sentiment for others, (3) central banks engage in FX intervention guidance, and (4) more transparent institutions are less responsive to political pressure in their communication.

Keywords: Exchange Rates; Natural Language Processing (NLP); International Spillovers; Monetary Policy

JEL-codes: C55; E42; E50; F31; F42

Language: English

41 pages, March 1, 2024

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