Iegor Vyshnevskyi

Monetary Policy Communication in Times of War and Political Turmoil: Evidence from Emerging and Developing Economies

Authors: Wook Sohn, Vira Vyshnevska, and Iegor Vyshnevskyi

This project examines how central bank communication on political turmoil affects near-term foreign exchange (FX) volatility in emerging and developing economies. Using a novel cross-country corpus of policy rate statements, we identify turmoil-related sentences and benchmark them against non-turmoil sentences from the same documents.

We construct four sentence-level metrics capturing language structure and information density, and link these measures to realized FX volatility using paired fixed-effects panel specifications with predetermined macroeconomic controls.

Results show that clearer and more information-rich turmoil-related communication is associated with lower FX volatility over the 1- to 5-day horizon, with effects fading by day 10. Findings are robust to difference specifications (turmoil minus non-turmoil), leave-one-country-out checks, and additional controls for conflict intensity.

Key Findings:

• Structured and detailed turmoil-related communication significantly reduces short-term FX volatility.
• Effects are strongest in the immediate post-announcement window and dissipate by day 10.
• Results remain robust across multiple identification and robustness strategies.

Central Bank Information Effects and the Transmission of the Global Financial Cycle

Authors: Cory Baird, Jonathan Benchimol, Vira Vyshnevska, Iegor Vyshnevskyi, and Wook Sohn

This project explores how central bank communications influence the transmission of global financial shocks to domestic financial conditions. By identifying and quantifying central bank information effects in advanced and emerging markets, the paper investigates their role as a key channel in the global financial cycle.

Using high-frequency surprises around monetary policy announcements and a novel text-based measure of central bank information disclosure, the authors find that information effects amplify or dampen the pass-through of global shocks depending on the clarity, credibility, and independence of the central bank.

The research highlights significant heterogeneity across countries and time periods, showing that stronger institutional frameworks allow central banks to steer market expectations more effectively and buffer spillovers from global financial conditions.

Key Contributions:

• Estimates the impact of central bank information effects on domestic bond yields, exchange rates, and equity markets.
• Constructs a novel dataset combining monetary policy communication, financial variables, and global risk indicators.
• Demonstrates the importance of communication transparency in reducing exposure to external financial shocks.

Poster: ASSA/AEA Annual Conference (January 3–5, 2026, Philadelphia, USA)

The Global Database for Central Bank Communications

Authors: Cory Baird, Jonathan Benchimol, Vira Vyshnevska, Iegor Vyshnevskyi, and Wook Sohn

We introduce the Global Database for Central Bank Communications (GDCBC), analyzing over 6,000+ monetary policy statements from 50 central banks worldwide. Our database fills a critical research gap by providing the largest repository of standardized central bank communications. Our methodological contributions include:

1. Developing standardized text preprocessing pipelines to ensure reproducibility in NLP analysis.
2. Implementing an integrated framework for training domain-specific language models.
3. Providing a robust technical architecture for automated data collection, version control, and cloud computing.

Using this dataset, we document significant narrative convergence during major economic shocks and identify systematic patterns in global information effects across diverse economies.

Presentation: 4th IFC and Bank of Italy Workshop on "Data Science in Central Banking" (February 18-20, 2025, Rome, Italy)

Awards

1. Student Community Service Award (2022), KDI School of Public Policy and Management, "in recognition of one dedicated service and efforts to promote a sense of community."

2. Outstanding employee of the year (2016), National Bank of Ukraine, "recognized for exceptional contributions to financial stability and risk assessment, including bank stress testing and regulatory improvements to enhance banking sector resilience."

3. Best thesis award, KDI School of Public Policy and Management (2014), "recognized for outstanding research in banking."

4. Two Dean's list recognitions for excellence in studying, KDI School of Public Policy and Management (2013), "recognized for academic excellence."

Scholarships

1. Global Ambassador Scholarship Ph.D. study, KDI School of Public Policy and Management, AY 2020-2022
2. Global Ambassador Scholarship M.S. study, KDI School of Public Policy and Management, AY 2013-2014
3. State scholarship M.S. and B.C. study, Kyiv National Economic University named after Vadym Hetman, AY 2004-2009

Selected Highlights

1. "Central Banks' Support for Climate Action: A Literature Review and Key Issues." I. Vyshnevskyi and W. Sohn, Journal of Economic Surveys, 2025.

2. "The Monetary Policy Statement Database: An LLM Application to Global Financial Conditions." CAMA Working Paper 25/2026.

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Latest Presentation

Monetary Policy Communication in Times of War and Political Turmoil: Evidence from Emerging and Developing Economies, presented at the CEBRA 2026 Annual Meeting.

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Monetary Policy Statement Database

This section provides access to the Monetary Policy Statement Database developed for cross-country research on central bank communication.

Related publication: Baird, C., Benchimol, J., Vyshnevska, V., Sohn, W., & Vyshnevskyi, I. (2026). The Monetary Policy Statement Database. In Data Science in Central Banking, IFC Bulletin No. 67, Chapter 14. Bank for International Settlements.

Data access: https://centralbanktexts.github.io/

Teaching Snapshot

I teach at both undergraduate and graduate levels across international commerce, macroeconomics, central banking, and data analytics.

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