Real-time price discovery via verbal communication: Method and application to Fedspeak

Gómez-Cram, Roberto; Grotteria, Marco

doi:10.1016/j.jfineco.2021.12.004

Cited by 32 publications

(4 citation statements)

References 61 publications

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“…Bekaert et al (2013) find evidence that looser policy reduces risk aversion and uncertainty. Gómez-Cram and Grotteria (2022) explore the price discovery process for several asset classes on FOMC announcement days. Bauer et al (2022) develop a policy uncertainty measure based on financial derivatives, and show that FOMC (uncertainty cycle) announcements reduce uncertainty.…”

Section: Central Bank Communication Effects On Market Volatility and ...mentioning

confidence: 99%

“…To the best of our knowledge, we are the first to do so. Some earlier research has focused on how central bank communication affects volatility in financial markets (see e.g., Bekaert et al, 2013;Cieslak and Schrimpf, 2019;Ehrmann and Talmi, 2020;Gómez-Cram and Grotteria, 2022), while only Hattori et al (2016) has studied tail risk. 2 Moreover, there is an extensive literature that studies the effects of central bank communication about the economic outlook on asset price surprises.…”

Section: Introductionmentioning

confidence: 99%

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Mind Your Language: Market Responses to Central Bank Speeches

Neely¹,

Yang²,

McMahon³

et al. 2023

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Researchers have carefully studied post-meeting central bank communication and have found that it often moves markets, but they have paid less attention to the more frequent central bankers' speeches. We create a novel dataset of US Federal Reserve speeches and develop supervised multimodal natural language processing methods to identify how monetary policy news affect financial volatility and tail risk through implied changes in forecasts of GDP, inflation, and unemployment. We find that news in central bankers' speeches can help explain volatility and tail risk in both equity and bond markets. Our results challenge the conventional view that central bank communication primarily resolves uncertainty and indicate that markets attend to speech signals more closely during abnormal GDP and inflation regimes. Our analysis also reveals that the views of Fed members (i.e., hawkish versus dovish) tend to play a marginal role in terms of the strength of the speech signals. Looking at the speeches by the Fed Chair, we find that the Chair signals produce a larger tail risk compared to non-Chair signals, and the estimated magnitude of the market responses depends on the position of the officials (i.e., the Fed Chair or other Fed member).

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Section: Central Bank Communication Effects On Market Volatility and ...mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Mind Your Language: Market Responses to Central Bank Speeches

Neely¹,

Yang²,

McMahon³

et al. 2023

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show abstract

“…P utonghua is a skill that students must master, and it is an essential and important tool in the process of communication and exchange between students and others, and the students' Putonghua ability and level will, to a certain extent, directly affect others' impression of them [1], [2]. Therefore, students must pay full attention to Mandarin pronunciation and improve their oral expression ability and level [3].…”

Section: Introductionmentioning

confidence: 99%

Innovative Practice of Mandarin Oral Expression and Teaching in the Context of Intelligent Teaching and Learning

Yang,

2024

Arch. Sci.

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The cultivation of oral expression ability requires Mandarin training, and Mandarin training is an auxiliary tool for students’ oral expression, and the study of Mandarin should be fully utilized to enhance students’ oral expression ability in teaching practice. This paper explores the application of artificial intelligence technology in the teaching of Mandarin oral expression, constructs a Mandarin oral pronunciation assessment corpus based on speech recognition under artificial intelligence technology, and applies the corpus in the actual students’ Mandarin oral expression training. The Mandarin spoken corpus, after the filtering process of the speech signal, is calculated using the MFCC parameter to complete the speech static feature recognition. On this basis, DCT frequency transformation is introduced to describe the dynamic characteristics of speech through differential parameters, and the processed speech signal is output using HMM model. In the analysis of the effect of intelligent spoken Mandarin teaching, the average score interval of the 10 indexes evaluation of the subject class is between [6.53,7], which is much higher than that of the control class. After intelligent teaching, the average scores of answering questions, conversational communication and independent expression of the subject class are 2.978, 3.336 and 2.945 respectively, which are higher than the results of the oral test before teaching, and the students’ oral expression ability is further improved.

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“…It reflects the ability of futures markets to swiftly adjust prices upon the influx of new information and promptly respond to market changes. An efficiently operating futures market possesses a mature price discovery function, offering reference prices for spot markets and influencing supply-demand dynamics and price formation in spot markets through hedging transactions and other means [4] , [5] . With advantages such as high leverage, high liquidity, low transaction costs, and short selling mechanisms, futures markets, in general consensus among scholars, tend to exhibit more sensitive responses to information compared to spot markets [6] , [7] .…”

Section: Introductionmentioning

confidence: 99%

Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis

Wu,

He,

Xiong

2024

Heliyon

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Real-time price discovery via verbal communication: Method and application to Fedspeak

Cited by 32 publications

References 61 publications

Mind Your Language: Market Responses to Central Bank Speeches

Mind Your Language: Market Responses to Central Bank Speeches

Innovative Practice of Mandarin Oral Expression and Teaching in the Context of Intelligent Teaching and Learning

Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis

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