THE SPEECHES OF THE EUROPEAN CENTRAL BANK’s PRESIDENTS: AN NLP STUDY

Warin, Thierry; Sanger, William

doi:10.1142/s2194565920500098

Cited by 4 publications

(4 citation statements)

References 57 publications

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“…The paper prepared by Warin and Sanger (2020) uses NLP in order to understand the subjective side of perceptions and interpretations contained in monetary policies. They use 203 speeches by European Central Bank (ECB) presidents from 1998 to 2016, where the ECB explains its position and monetary policy actions and then the president answers questions from journalists.…”

Section: Communication and Sentiment Analysismentioning

confidence: 99%

The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués

Montes

Maia

2023

Bulletin of Econ Res

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Using official communiqués about fiscal policy, we develop a fiscal sentiment indicator, and we verify the reaction of disagreements in inflation expectations to fiscal sentiment. This analysis is relevant to inflation targeting (IT) countries because transparency and communication can influence expectations. The results suggest that a more optimistic fiscal sentiment reduces disagreements in inflation expectations. Estimates show that, for higher disagreements in inflation expectations at 12‐month maturity, an optimistic fiscal sentiment can reduce the disagreement more sharply. In turn, the fiscal sentiment effect on the disagreement for the 48‐month maturity is stronger the smaller the disagreement is. The results allow us to outline the following policy recommendations. First, an optimistic fiscal environment is important in the task of guiding inflation expectations and reducing inflation uncertainty. Second, fiscal communication is an important tool for the expectations formation process, and therefore it must be carefully managed to help in the task of forward guidance of inflation expectations, being important for the IT regime. Third, both fiscal credibility and monetary policy credibility are important for the expectations formation process, particularly for the reduction of inflation uncertainty, representing aspects that must be preserved in countries that adopt the IT regime.

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Section: Communication and Sentiment Analysismentioning

confidence: 99%

The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués

Montes

Maia

2023

Bulletin of Econ Res

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“…The first strand focuses on quantification through central bank or monetary policy transparency indices, measuring the degree of information disclosure (e.g., Geraats 2002Geraats , 2020Dincer and Eichengreen 2014;Dincer et al 2019Dincer et al , 2022. The second strand employs text mining techniques to identify policy concerns, decisions, and intentions (e.g., Masawi et al 2014;Hansen and McMahon 2016;Hansen et al 2018Hansen et al , 2019Warin and Sanger 2020;Küsters 2022). Our contribution relates to the second strand of rapidly growing empirical literature exploring central bank communication from a computational linguistics perspective.…”

Section: Literature Reviewmentioning

confidence: 99%

“Decoding” Policy Perspectives: Structural Topic Modeling of European Central Bankers’ Speeches

Warin

Stojkov

2023

JRFM

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This research analyzes the speeches and interviews of high-level European Central Bank decision makers from 1997 to 2021 to identify clusters of prominent topics. Transparency is a crucial aspect of modern monetary policy, and public speeches and interviews by central bankers play a vital role in achieving it. Our study employs structural topic modeling to compare the prevalence of topics during the Global Financial Crisis, pandemic crisis, and periods of heightened inflation. Additionally, we explore the impact of central bank independence on official rhetoric.

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“…Warin and Sanger (2020) analyzed the evolution of ECB communication over time, in particular the difference in posture from the 2008 global financial crisis. The authors use NLP to understand the subjective side of perceptions and interpretations contained in monetary policies.…”

Section: Communication and Sentiment Analysismentioning

confidence: 99%

“…The results indicate that sentiment shocks generate international spillovers, and the Fed seems to be an influential generator of these spillovers. Warin and Sanger (2020) analyzed the evolution of ECB communication over time, in particular the difference in posture from the 2008 global financial crisis. The authors use NLP to understand the subjective side of perceptions and interpretations contained in monetary policies.…”

Section: Communication and Sentiment Analysismentioning

confidence: 99%

Yield curve reactions to fiscal sentiment in Brazil

Montes

Fonseca

2022

JFEP

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Purpose Using a fiscal sentiment indicator, this study aims to verify whether fiscal sentiment affects the yield curve in Brazil. Since policymakers highlight the coordination between monetary and fiscal policies and the importance of fiscal policy to the expectations formation process in inflation targeting regimes, the authors also explore the transmission mechanism through inflation expectations. Hence, the study also analyzes the effect of fiscal sentiment on interest rate swap spreads through the inflation expectations channel. Design/methodology/approach Based on information obtained from official communiqués about fiscal policies issued by the Central Bank of Brazil and the Brazilian Ministry of Finance, the study builds a fiscal sentiment indicator. The econometric strategy to verify whether fiscal sentiment is related to the short tail of the yield curve is based on time series analysis through ordinary least squares and generalized method of moments estimates. In turn, to estimate the transmission mechanism through inflation expectations, the model uses interaction terms between fiscal sentiment and inflation expectations. Findings The results suggest a more optimistic (pessimistic) fiscal sentiment reduces (increases) swap spreads. The findings reveal that improvements in fiscal credibility and a more optimistic fiscal sentiment are able to reduce the positive marginal effect that inflation expectations variations have on interest rate swap spreads. Originality/value This study contributes to the literature, as, to the best of authors’ knowledge, it is the first to analyze the content of the communiqués related to fiscal policy, and based on this content, it extracts the sentiment related to the fiscal environment and analyzes the effect of this sentiment on the yield curve. Besides, different from existing studies that analyze the effect of fiscal backward-looking aspects (such as public debt, budget balance, taxes and public spending) on the yield curve, this study investigates forward-looking aspects related to fiscal policy (such as fiscal credibility and fiscal sentiment).

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THE SPEECHES OF THE EUROPEAN CENTRAL BANK’s PRESIDENTS: AN NLP STUDY

Cited by 4 publications

References 57 publications

The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués

The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués

“Decoding” Policy Perspectives: Structural Topic Modeling of European Central Bankers’ Speeches

Yield curve reactions to fiscal sentiment in Brazil

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