Dokument
| Titel: | What’s that Noise? Analysing Sentiment-based Variation in Central Bank Communication |
| Autor: | Hayo, Bernd |
| Weitere Verfasser: | Zahner, Johannes |
| Veröffentlicht: | 2022 |
| URI: | https://archiv.ub.uni-marburg.de/es/2024/0748 |
| DOI: | https://doi.org/10.17192/es2024.0748 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2024-01-19 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
|---|
| information content of sentiment indices, central banks, Loughran and McDonald (2011) dictionary, Sentiment index, monetary policy |
Summary:
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.
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