Related papers: Does FOMC Tone Really Matter? Statistical Evidence…
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…
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…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
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…
In this paper, the effects of graph gluing operations in networks of multi-agent systems and their impact on system performance are investigated. In many practical applications, multiple multi-agent subsystems must be interconnected through…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
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…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
Social network research has begun to take advantage of fine-grained communications regarding coordination, decision-making, and knowledge sharing. These studies, however, have not generally analyzed how external events are associated with a…
Markets and policymakers around the world hang on the consequential monetary policy decisions made by the Federal Open Market Committee (FOMC). Publicly available textual documentation of their meetings provides insight into members'…
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…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
This article deals with the spectra of Laplacians of weighted graphs. In this context, two objects are of fundamental importance for the dynamics of complex networks: the second eigenvalue of such a spectrum (called algebraic connectivity)…
In meetings where important decisions get made, what items receive more attention may influence the outcome. We examine how different types of rhetorical (de-)emphasis -- including hedges, superlatives, and contrastive conjunctions --…
"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…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
Through an eigenanalysis of small perturbations, as typically done in small-signal stability studies, we intend to discover the underlying reasons that make those perturbations propagate in some way or another in the grid. To this end, we…