The Impact of Bank of Russia Monetary Policy Communication on the Stock Market

Student: petrov stanislav

Supervisor: Konstantin Styrin

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Final Grade: 10

Year of Graduation: 2022

In this paper, we estimate the effect of the Bank of Russia communication on various economic outcomes. Using a neural network classifier, we quantify the tone sentiment embedded in the press releases and the press conferences on the key rate from 2013 to 2021. We find the evidences of the negative reaction of the stock market to the tone of the releases and the positive one to the tone of the conferences at the same day of publication. We also show the negative effect on inflation expectations and insignificant effects for the bond market. Additionally, we investigate the durability of the effects and test if they are dependent on the rate change.

Full text (added May 24, 2022)

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