What's that noise? Analysing sentiment-based variation in central bank communication

Arbeitspapier

To which degree can variation in sentiment-based indicators of central bank communication be attributed to changes in macroeconomic, financial, and monetary variables; idiosyncratic speaker effects; sentiment persistence; and random "noise" ? Using the Loughran and McDonald (2011) dictionary on a text corpus containing more than 10,000 speeches and press statements, we construct sentiment-based indicators for the ECB and the Fed. An analysis of variance (ANOVA) shows that sentiment is strongly persistent and influenced by speaker-specific effects. With about 80% of the variation in sentiment being due to noise, our findings cast doubt on the reliability of conclusions based on variation in dictionary-based indicators.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: MAGKS Joint Discussion Paper Series in Economics ; No. 41-2022

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Large Data Sets: Modeling and Analysis ; Central Banks and Their Policies ; Policy Objectives; Policy Designs and Consistency; Policy Coordination ; Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification
• Thema: Sentiment index ; monetary policy ; central banks ; Loughran and McDonald (2011) dictionary ; information content of sentiment indices

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hayo, Bernd ; Zahner, Johannes
• Ereignis: Veröffentlichung
• (wer): Philipps-University Marburg, School of Business and Economics
• (wo): Marburg
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/273879
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ