Central bank's communication and markets' reactions: Polish evidence

Janusz Brzeszczyński*, Jerzy Gajdka, Tomasz Schabek, Ali M Kutan

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)
35 Downloads (Pure)


This study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets.

Empirical analysis is executed using the National Bank of Poland (NBP) announcements about its monetary policy covering the data from the broad financial market in its three main segments: stock market, foreign exchange market and bonds market. The reactions are measured relative to the changes in the NBP announcements and also with respect to investors' expectations. Autoregressive conditional heteroscedasticity (ARCH) models with dummy variables are used as the main methodological tool.

Bonds market and foreign exchange market are the most sensitive market segments, while interest rate and money supply are the most influential types of announcements. The changes of the revealed new macroeconomic figures had more impact on assets' prices movements than the deviations from their expectations. Moreover, greater diversity of the Monetary Policy Council (MPC) members' opinions on the voted motions, captured in the MPC voting reports, is associated with more cases of statistically significant NBP communication events.

Practical implications
The findings have direct relevance for fund managers, portfolio analysts, investors and also for financial market regulators.

The results provide novel evidence about how the emerging financial market responds to monetary policy announcements. They help understand the nature of the impact of public information on financial assets' valuation and on movements of their prices, analysed comprehensively in three market segments, in the emerging market environment.
Original languageEnglish
Pages (from-to)2544-2580
Number of pages37
JournalInternational Journal of Emerging Markets
Issue number9
Early online date7 Sept 2021
Publication statusPublished - 14 Nov 2023


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