RESEARCH ARTICLE
Does financial stability communication affect financial asset prices? Evidence from the Bank of England's communication experiment
Hamdi Jbir,
Corresponding Author
Hamdi Jbir
LéP (Laboratoire d’économie de Poitiers), University of Poitiers, Poitiers Cedex 9, France
Correspondence
Hamdi Jbir, Bâtiment A1, 2 rue Jean Carbonnier, TSA 81100, 86073 Poitiers Cedex 9, France.
Email: [email protected]
Search for more papers by this authorHamdi Jbir,
Corresponding Author
Hamdi Jbir
LéP (Laboratoire d’économie de Poitiers), University of Poitiers, Poitiers Cedex 9, France
Correspondence
Hamdi Jbir, Bâtiment A1, 2 rue Jean Carbonnier, TSA 81100, 86073 Poitiers Cedex 9, France.
Email: [email protected]
Search for more papers by this authorAbstract
This paper examines the Bank of England's (BoE) communication on financial stability between 2013 and 2018. We apply an event study to determine the communication effect on financial institutions' stock market returns. We find that the BoE's announcements generate negative average abnormal returns for non-banking and banking systems, including the Global Systemically Important Banks. The same effect emerges when we consider the communication's tone. Furthermore, we construct a macroprudential decision communication index and show that the negative impact of the BoE's tone is significant only when the decision communication index value is above average. Moreover, we find evidence that negative abnormal returns tend to appear after the Brexit referendum, while we find positive abnormal returns before that date. Besides, we do not identify a noticeable effect related to communication practices.
CONFLICT OF INTEREST STATEMENT
The author declares that he has no known competing financial interests or personal relationships that could have appeared to influence the work reported in this paper.
Open Research
DATA AVAILABILITY STATEMENT
The data that support the findings of this study are available from the corresponding author upon reasonable request.
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