Author: Gakjoon Yoo(Seoul National University), Dooyeon Cho(Sungkyunkwan University)

<Abstract>

Since the global financial crisis, there has been a surge in research examining the effects of central bank verbal communication on both the real economy and financial markets, driven by the adoption of unconventional monetary policy tools such as Forward Guidance alongside traditional measures. This study analyzes how the monetary policy stance communicated during press conferences conducted by the Monetary Policy Board of the Bank of Korea after its policy-setting meetings affects financial markets, using high-frequency market data and text sentiment analysis. Our findings reveal heightened market volatility, particularly in the bond market, coinciding with these press conferences. Moreover, through sentiment analysis of the conference transcripts and assessing the influence of the monetary policy stance on bond yields, this study identifies that a more hawkish stance during these conferences is associated with an increase in bond yields. Thus, our study underscores the significance of central bank communication by illustrating that the Bank of Korea's monetary policy stance affects financial markets not only through traditional channels but also via communication in post-meeting press conferences.