Central Bank Language and Long-Run Volatility: A Harmonized Four-Bank Test of Measurement and Regime Dependence

Abstract

Does the volatility relevance of central-bank language travel across institutions, measures, and policy regimes? Using a harmonized text-scoring and GARCH-MIDAS pipeline, we study 362 scheduled statements from the Federal Reserve, ECB, Bank of England, and Bank of Japan during 2015–2026. Only ECB uncertainty remains significant after Holm correction, and that loading disappears after the ECB’s 2021 strategy redesign. Formal interactions also identify loading shifts around the 2024 Bernanke Review and the Bank of Japan’s exit from negative rates and yield-curve control. A Federal Reserve reconciliation shows strong sensitivity to lexicon choice. Textual volatility channels are measurementand regime-contingent.

Author abstract from the research manuscript. Typography and line breaks have been normalized; the linked source may show a different manuscript version.