Related papers: Central Bank Communication and the Yield Curve: A …
This paper introduces a transparent framework to identify the informational content of FOMC announcements. We do so by modelling the expectations of the FOMC and private sector agents using state of the art computational linguistic tools on…
The effectiveness of central bank communication is a crucial aspect of monetary policy transmission. While recent research has examined the influence of policy communication by the chairs of the Federal Reserve on various financial…
In this study, we analyze documents published by central banks using text mining techniques and propose a method to evaluate the policy tone of central banks. Since the monetary policies of major central banks have a broad impact on…
This study explores the influence of FOMC sentiment on market expectations, focusing on cognitive differences between experts and non-experts. Using sentiment analysis of FOMC minutes, we integrate these insights into a bounded rationality…
Forecasting central bank policy decisions remains a persistent challenge for investors, financial institutions, and policymakers due to the wide-reaching impact of monetary actions. In particular, anticipating shifts in the U.S. federal…
News media coverage of monetary policy is not a passive transcript of central-bank communication: it filters announcements, macroeconomic news, and editorial choices into narratives that move expectations and policy decisions. We embed…
This study examines the relationship between Federal Open Market Committee (FOMC) announcements and financial market network structure through spectral graph theory. Using hypergraph networks constructed from S\&P 100 stocks around FOMC…
This paper studies the content of central bank speech communication from 1997 through 2020 and asks the following questions: (i) What global topics do central banks talk about? (ii) How do these topics evolve over time? I turn to natural…
Monetary policy pronouncements by Federal Open Market Committee (FOMC) are a major driver of financial market returns. We construct the largest tokenized and annotated dataset of FOMC speeches, meeting minutes, and press conference…
This research article analyzes the language used in the official statements released by the Federal Open Market Committee (FOMC) after its scheduled meetings to gain insights into the impact of FOMC official statements on financial markets…
This paper quantifies the international spillovers of US interest rates by explicitly controlling for the "Fed Information Effect". I use multiple identification strategies that identify two components of monetary policy surprises around…
"Fedspeak", the stylized and often nuanced language used by the U.S. Federal Reserve, encodes implicit policy signals and strategic stances. The Federal Open Market Committee strategically employs Fedspeak as a communication tool to shape…
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance…
This paper quantifies the international spillovers of US monetary policy by exploiting the high-frequency movement of multiple financial assets around FOMC announcements. I use the identification strategy introduced by Jarocinski & Karadi…
We study U.S. Treasury yield curve forecasting under distributional uncertainty and recast forecasting as an operations research and managerial decision problem. Rather than minimizing average forecast error, the forecaster selects a…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
The U.S. Federal Open Market Committee (FOMC) regularly discusses and sets monetary policy, affecting the borrowing and spending decisions of millions of people. In this work, we release Op-Fed, a dataset of 1044 human-annotated sentences…
Viewing a yield curve as a sparse collection of measurements on a latent continuous random function allows us to model it statistically as a sparsely observed functional time series. Doing so, we use the state-of-the-art methods in…
A significant bottleneck in federated learning (FL) is the network communication cost of sending model updates from client devices to the central server. We present a comprehensive empirical study of the statistics of model updates in FL,…