Work in progress
1. Always silent? Endogenous central bank communication during the quiet period
[Abstract] [PDF] [Slides]
This paper analyzes the imperative of central banks consistently adhering to the quiet period policy. The financial market model describes a multifaceted trade--off, wherein the central bank not only gauges the instantaneous market reactions to a quiet period communication but also assesses both the effects of an upcoming Board meeting and changes in market volatility. Consequently, we explore scenarios where proactive communication during the quiet period is deemed necessary. Key determinants for such communication include the willingness to look beyond the immediate consequences of the intervention and the allocation of uncertainty between the central bank's reaction function and the uncertainty associated with the Board meeting dissent. Adopting a collegial approach during the quiet period, effective communication may display distinctive features, such as response asymmetry. The central bank is more reluctant to convey negative news about its economic assessments to the markets. The resolution of uncertainty stemming from such communications can influence the current state of the quiet period with emerging leaks, individual breaches, and unattributed informal communications.
2. Understanding Fedspeak with LLM (coming soon)
Published papers
I have three published papers in Russian. Recognizing that their accessibility might be limited, I offer a succinct, shorter-than-abstract summary of each below.
3. Lombard List formation as a distorting signal of the Bank of Russia (In Russian) (Формирование Ломбардного списка как искажающий сигнал Банка России) http://doi.org/10.32609/0042-8736-2022-10-37-65
[Shorter-than-abstract summary] [PDF]
The Bank of Russia regularly and discretionary updates the Lombard List, which includes assets eligible for use as collateral in liquidity provisions to banks. This case study was particularly inspired by the market's reaction to the swift addition of Rosneft bonds in 2014. My findings indicate that when bonds are included in the Lombard List within three weeks of issuance, which occurred in 11 instances over seven years, the market tends to interpret this as positive news about the issuing company, with an average cumulative effect of approximately 0.5%. However, this effect is only observed in cases of rapid inclusion and exhibits varied volatility impacts across different companies. This suggests that the central bank's actions, albeit unintentional, serve as a signal regarding the state of affairs of private companies. Reducing the discretionary nature of the Lombard List updates could mitigate this unintended signaling effect.
4. Bank of Russia regular communications and volatility short-term effects in financial markets (In Russian) (Регулярные коммуникации Банка России и краткосрочные эффекты волатильности на финансовых рынках) http://doi.org/10.31737/2221-2264-2022-54-2-7
[Shorter-than-abstract summary] [PDF]
A study examining market volatility on the Bank of Russia Board of Directors meeting days. I utilized HAR models to analyze market behavior. The findings reveal a rapid market adjustment, with volatility spikes lasting only 15-20 minutes following these meetings. Interestingly, the data also indicates that press conferences held in conjunction with these meetings have almost no impact.
5. Verbal interventions of the Bank of Russia and the interest rate structure, joint with Sergey Merzlyakov (In Russian) (Вербальные интервенции Банка России и структура процентных ставок) http://doi.org/10.31063/2073-6517/2019.16-4.5
[Shorter-than-abstract summary] [PDF]
In the paper, we analyzed data from all informal communications of the Bank of Russia during its transition to an inflation targeting regime, categorizing each communication by topic and tone. This analysis revealed that the transition enhanced the response of the zero-coupon yield curve to communications, with different topics influencing various parts of the curve in distinct ways. Markets are more likely to react to the Governor's communications than to other Board members. Additionally, it was observed that for Deputy Governors, interest rates are mainly influenced by statements on matters directly under their purview at the Bank of Russia. We have also developed a small yet-to-be-published follow-up study in English, which I plan to add here soon.
