Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements

We construct a new measure of monetary policy surprise based on a natural language processing algorithm designed to capture contextual nuances in FOMC statements. Specifically we exploit cross-sectional variations across alternative FOMC statements to identify the statement's tone, and compare current and previous FOMC statements to obtain the novelty. We use high-frequency bond price movements around FOMC announcements to compute the surprise component of the monetary policy announcement. According to our measure, the stock market declines after unexpected policy tightening. Our text-based approach allows us to assess the counterfactual effects of an altered FOMC statement on the stock market

MoreLess

Year of publication:	2022
Authors:	Doh, Taeyoung ; Song, Dongho ; Yang, Shu-Kuei
Publisher:	[S.l.] : SSRN
Subject:	Zentralbank \| Central bank \| Geldpolitik \| Monetary policy \| Politische Kommunikation \| Political communication \| Kommunikation \| Communication

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10014082331