PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2019 | nr 1 | 1--20
Tytuł artykułu

A Machine Learning Framework for Automated Analysis of Central Bank Communication and Media Discourse : the Case of Narodowy Bank Polski

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper presents a supervised machine learning framework based on the dictionary and Wordscores models that allows to analyse interactions between the official central bank communication (policy statements) and media discourse (newspaper articles). It was tested on the case of Narodowy Bank Polski in the period 1998-2018, with 70 policy statements accompanying interest rate changes and 21,181 Rzeczpospolita daily articles mentioning the central bank. Using a new concept - correlation of policy lexical sentiment - we found that NBP can successfully affect media discourse when the press discusses topics that fall into the NBP mandate. We also documented that the focus of both RPP statements and press articles changed over time. In the validation procedure we showed that the biggest challenge in applying machine learning to detecting monetary policy inclination in press articles is the existence of many competing policy transmission channels. (original abstract)
Czasopismo
Rocznik
Numer
Strony
1--20
Opis fizyczny
Twórcy
  • Vistula University; Synerise SA
Bibliografia
  • Bennani H. (2015), The art of central banks' forward guidance at the zero lower bound, SSRN Working Paper, June.
  • Boukus E., Rosenberg J. (2006), The information content of FOMC minutes, Federal Reserve Bank of New York Working Paper, July.
  • Blinder A.S., Ehrmann M., Fratzscher M., De Haan J., Jansen, D.-J. (2008), Central bank communication and monetary policy: a survey of theory and evidence, Journal of Economic Literature, 46(4), 910-945.
  • Canzoneri M. (1985), Monetary policy games and the role of private information, American Economic Review, 75(5), 1056 -1070.
  • Carpenter S.B. (2004), Transparency and monetary policy: What does the academic literature tell policymakers?, Federal Reserve Board Finance and Economics Discussion Series, 35.
  • Connolly E., Kohler M. (2004), News and interest rate expectations: a study of six central banks, Federal Reserve Bank of Australia Working Paper, 10.
  • Correa R., Garud K., Londono J.M., Mislang N. (2017), Sentiment in central banks financial stability reports, International Finance Discussion Papers, Board of Governors of the Federal Reserve System, 1203.
  • Doryń W. (2018), Analiza wydźwięku dyskusji na posiedzeniach decyzyjnych Rady Polityki Pieniężnej, Wiadomości Statystyczne, 63, 7(686), 72-85.
  • Eijffinger S., Hoeberichts M., Schaling E. (2000), Why money talks and wealth whispers: monetary uncertainty and mystique, Journal of Money, Credit, and Banking, 32(2), 218-235.
  • Ehrmann M., Fratzcher M. (2005a), Communication and decision-making by central bank committees: different strategies, same effectiveness?, European Central Bank Working Paper, 488.
  • Ehrmann M., Fratzcher M. (2005b), How should central banks communicate?, European Central Bank Working Paper, 577.
  • Faust J., Svensson L. (1998), Transparency and credibility: monetary policy with unobservable goals, National Bureau of Economic Research Working Paper, 6452.
  • Geraats P. (2002), Central bank transparency, Economic Journal, 112(483), F532-F565.
  • Gerlach S. (2004), Interest rate setting by the ECB: words and deeds, Centre for Economic Policy Research Discussion Paper, 4775.
  • Guthrie G., Wright J. (2000), Open mouth operations, Journal of Monetary Economics, 46(2), 489-516.
  • Grimmer J., Stewart B. (2013), Text as data: the promise and pitfalls of automatic content analysis methods for political texts, Political Analysis, 1-31.
  • Gürkaynak R., Sack B., Swanson E. (2005), Do actions speak louder than words? The response of asset prices to monetary policy actions and statements, International Journal of Central Banking, 1(1), 55-93.
  • Hahn V. (2002), Transparency in monetary policy: a survey, Ifo Studien Zeitschrift für empirische Wirtschaftsforschung, 3, 429-455.
  • Hansen S., McMahon M., Prat A. (2018), Transparency and deliberation within the FOMC: a computational linguistics approach, The Quarterly Journal of Economics, 133(2), 801-870.
  • Hendry S. (2012), Central bank communication or the media's interpretation: What moves markets?, Bank of Canada Working Paper, 2012-9.
  • Jansen D.-J., de Haan J. (2010), An assessment of the consistency of ECB communication using Wordscores, DNB Working Paper, 259.
  • Jensen H. (2002), Optimal degrees of transparency in monetary policy-making, Scandinavian Journal of Economics, 104(3), 399-422.
  • Kohn D., Sack B. (2003), Central bank talk: Does it matter and why?, The Federal Reserve Board Finance and Economics Discussion Series, 55.
  • Laver M., Benoit K., Garry J. (2003), Extracting policy positions from political texts using words as data, American Political Science Review, 97(02), 311-331.
  • Luangaram P., Wongwachara W. (2017), More than words: a textual analysis of monetary policy communication, PIER Discussion Papers, 54, Puey Ungphakorn Institute for Economic Research.
  • Lüdering J., Tillmann P. (2016), Monetary policy on Twitter and its effect on asset prices: evidence from computational text analysis, MAGKS Papers on Economics, 201612, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  • Masawi B., Bhattacharya S., Boulter T. (2016), The power of words: a content analytical approach examining whether central bank speeches become financial news, Journal of Information Science, 40(2), 198-210.
  • Moniz A., de Jong F. (2014), Predicting the impact of central bank communications on financial market investors' interest rate expectations, in: V. Presutti, E. Blomqvist, R. Troncy, H. Sack, I. Papadakis, A. Tordai (eds), The Semantic Web: ESWC 2014 Satellite Events. ESWC 2014. Lecture Notes in Computer Science, Springer.
  • Ortiz A., Rodrigo T., Turina J. (2017), How do the central banks talk? A big data approach to Turkey, BBVA Research, 17 October.
  • Rozkrut M., Rybinski K., Sztaba L., Szwaja R. (2007), Quest for central bank communication: Does it pay to be "talkative"?, European Journal of Political Economy, 23(1), 176-206.
  • Rybinski K. (2017), Sentiment analysis of Polish politicians, e-Politikon, 24, 162-195.
  • Rybinski K. (2018), Political sentiment analysis of press freedom, Studia Medioznawcze, 3(74), 31-48.
  • Siklos P.J., Sturm J.-E., eds (2013), Central bank communication, decision making, and governance, CESifo Seminar Series, The MIT Press.
  • Wan M. (2017), Malaysia: reading between the lines - text mining the central bank, Credit Suisse Fixed Income Research, Emerging Markets, 27 November.
  • Woodford M. (2005), Central bank communication and policy effectiveness, paper presented at the Federal Reserve Bank of Kansas City Conference: "The Greenspan Era: Lessons for the Future", Jackson Hole, August 25-27.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171547751

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.