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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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| Vydáno v: | MAGKS - Joint Discussion Paper Series in Economics (Band 41-2022) |
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| Hlavní autoři: | , |
| Médium: | Článek |
| Jazyk: | angličtina |
| Vydáno: |
Philipps-Universität Marburg
2022
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| Témata: | |
| On-line přístup: | Plný text ve formátu PDF |
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| Shrnutí: | 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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| Fyzický popis: | 12 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0748 |