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...

Повний опис

Збережено в:
Бібліографічні деталі
Опубліковано в::MAGKS - Joint Discussion Paper Series in Economics (Band 41-2022)
Автори: Hayo, Bernd, Zahner, Johannes
Формат: Стаття
Мова:англійська
Опубліковано: Philipps-Universität Marburg 2022
Предмети:
Онлайн доступ:PDF-повний текст
Теги: Додати тег
Немає тегів, Будьте першим, хто поставить тег для цього запису!
Опис
Резюме: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.
Фізичний опис:12 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0748