What’s that Noise? Analysing Sentiment-based Variation in Central Bank Communication

What’s that Noise? Analysing Sentiment-based Variation in Central Bank Communication

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 tex...

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Pubblicato in:MAGKS - Joint Discussion Paper Series in Economics (Band 41-2022)
Autori principali: Hayo, Bernd, Zahner, Johannes
Natura: Articolo
Lingua:inglese
Pubblicazione: Philipps-Universität Marburg 2022
Soggetti:
information content of sentiment indices
monetary policy
central banks, Loughran and McDonald (2011) dictionary
Sentiment index
Wirtschaft
Economics
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