Related papers: Measuring Communication Quality of Interest Rate 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…
Recent developments in monetary policy by the Federal Reserve has created a need for an objective method of communication analysis.Using methods developed for text analysis, we present a novel technique of analysis which creates a semantic…
Central banks increasingly use social media to communicate beyond financial markets, yet evidence on public engagement effectiveness remains limited. Despite 113 central banks joining Twitter between 2008 and 2018, we lack understanding of…
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 investigates the impact of increased debt servicing costs on household consumption resulting from monetary policy tightening. It utilizes observational panel microdata on all mortgage holders in Israel and leverages…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast,…
Share valuations are known to adjust to new information entering the market, such as regulatory disclosures. We study whether the language of such news items can improve short-term and especially long-term (24 months) forecasts of stock…
Mining financial text documents and understanding the sentiments of individual investors, institutions and markets is an important and challenging problem in the literature. Current approaches to mine sentiments from financial texts largely…
Volatility prediction--an essential concept in financial markets--has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We…
Communication is now a standard tool in the central bank's monetary policy toolkit. Theoretically, communication provides the central bank an opportunity to guide public expectations, and it has been shown empirically that central bank…
Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market…
Financial literacy and financial education are important components of modern life. The importance of financial literacy is increasing for financial consumers because of the weakening of both government and employer-based retirement…
We present information value, a measure which quantifies the predictability of an utterance relative to a set of plausible alternatives. We introduce a method to obtain interpretable estimates of information value using neural text…
Methods and applications are inextricably linked in science, and in particular in the domain of text-as-data. In this paper, we examine one such text-as-data application, an established economic index that measures economic policy…
This paper proposes an information retrieval method for the economy news. The effect of economy news, are researched in the word level and stock market values are considered as the ground proof. The correlation between stock market prices…
Researchers and financial professionals require robust computerized tools that allow users to rapidly operationalize and assess the semantic textual content in financial news. However, existing methods commonly work at the document-level…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
Relationship lending is broadly interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify the strength of a lending relationship, while simple statistics such as the…
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil…
We study how the general public perceives the link between monetary policy and housing markets. Using a large-scale, cross-country survey experiment in Austria, Germany, Italy, Sweden, and the United Kingdom, we examine households'…