<p>Central bank communication has a significant impact on economic policy uncertainty and financial market volatility. This paper explores the mechanisms through which central bank communication affects economic policy uncertainty and financial market volatility, using a Time-Varying Parameter Vector Autoregression (TVP-VAR) model. Firstly, central bank communication can influence market participants’ expectations of future economic policy, thereby affecting the perception and pricing of risk in the market. Secondly, central bank communication can also convey policy intentions and assessments of the economic situation, guiding market expectations and behaviors. Finally, the transparency and predictability of central bank communication have a crucial impact on market stability and volatility. Highly transparent and consistent communication can reduce market uncertainty and volatility.</p>