Quantitative Easing and Tapering Uncertainty: Evidence from Twitter
In this paper we analyze the extent to which peoples' changing beliefs about the timing of the exit from Quantitative Easing (\tapering") impact asset prices. To quantify beliefs of market participants, we use data from Twitter, the social media application. Our data set covers the enti...
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| izdano v: | MAGKS - Joint Discussion Paper Series in Economics (Band 09-2015) |
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| Autoren: | , |
| Format: | Artikel |
| Jezik: | angleščina |
| Izdano: |
2015
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| Teme: | |
| Online dostop: | PDF-Volltext |
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| Izvleček: | In this paper we analyze the extent to which peoples' changing beliefs
about the timing of the exit from Quantitative Easing (\tapering") impact
asset prices. To quantify beliefs of market participants, we use data from
Twitter, the social media application. Our data set covers the entire Twitter
volume on Federal Reserve tapering in 2013. Based on the time series of beliefs about an early or late tapering, we estimate a VAR model with appropriate sign restrictions on the impulse responses to identify a belief shock. The results show that shocks to tapering beliefs have profound effects on interest
rates, exchange rates and asset prices. We also derive measures of monetary
policy uncertainty and disagreement of beliefs, respectively, and estimate their
impact. The paper is the first to use social media data for analyzing mone-
tary policy and also adds to the rapidly growing literature on macroeconomic
uncertainty shocks. |
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| Fizični opis: | 42 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0371 |