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Whatever it takes to understand a central banker : embedding their words using neural networks

  • Dictionary approaches are at the forefront of current techniques for quantifying central bank communication. In this paper, the author propose a novel language model that is able to capture subtleties of messages such as one of the most famous sentences in central bank communications when ECB President Mario Draghi stated that "within [its] mandate, the ECB is ready to do whatever it takes to preserve the euro". The authors utilize a text corpus that is unparalleled in size and diversity in the central bank communication literature, as well as introduce a novel approach to text quantication from computational linguistics. This allows them to provide high-quality central bank-specific textual representations and demonstrate their applicability by developing an index that tracks deviations in the Fed's communication towards inflation targeting. Their findings indicate that these deviations in communication significantly impact monetary policy actions, substantially reducing the reaction towards inflation deviation in the US.

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Metadaten
Verfasserangaben:Martin BaumgärtnerORCiDGND, Johannes ZahnerORCiDGND
URN:urn:nbn:de:hebis:30:3-712225
URL:https://www.imfs-frankfurt.de/forschung/imfs-working-papers/details.html?tx_mmpublications_publicationsdetail%5Bcontroller%5D=Publication&tx_mmpublications_publicationsdetail%5Bpublication%5D=459&cHash=fbe9a609b29fc687819559e3250bceea
Schriftenreihe (Bandnummer):Working paper series / Institute for Monetary and Financial Stability (194)
Verlag:Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
Verlagsort:Frankfurt am Main
Dokumentart:Arbeitspapier
Sprache:Englisch
Jahr der Fertigstellung:2023
Jahr der Erstveröffentlichung:2023
Veröffentlichende Institution:Universitätsbibliothek Johann Christian Senckenberg
Datum der Freischaltung:08.01.2024
Freies Schlagwort / Tag:Central Bank Communication; Natural Language Processing; Neural Network; Transfer Learning; Word Embedding
Auflage:This draft: December 14, 2023
Seitenzahl:45
Institute:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
DDC-Klassifikation:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Klassifikation:C Mathematical and Quantitative Methods / C4 Econometric and Statistical Methods: Special Topics / C45 Neural Networks and Related Topics
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
Z Other Special Topics / Z1 Cultural Economics; Economic Sociology; Economic Anthropology / Z13 Economic Sociology; Economic Anthropology
Sammlungen:Universitätspublikationen
Lizenz (Deutsch):License LogoDeutsches Urheberrecht