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Abstract
We explore how speeches from individual members of the Monetary Policy Committee impact on inflation expectations, as proxied by the implied forward rate. Computational linguistics tools are used to quantify the sentiment (tonality) of individual speeches of members. External speakers have calming effects on future expected inflation, whereas the effects are somewhat mixed for the Bank’s Governor and the remaining internal members of the Committee. Members who deliver more speeches make the final selection in the model of the best fit. However, experience at the aggregate level does not unanimously imply more credibility. Speeches previously delivered by a selected few calm inflation expectations. The response to tonality differs when considering pre-crisis, crisis and post-crisis regimes. The findings point out that markets’ are more responsive to the signals emitted by individual speeches in the post-crisis era
Original language | English |
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Place of Publication | Dundee |
Publisher | University of Dundee, Department of Economic Studies |
Pages | 1-40 |
Number of pages | 40 |
Publication status | Published - Jun 2022 |
Publication series
Name | Dundee Discussion Papers in Economics |
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No. | 305 |
ISSN (Electronic) | 1473-236X |
Keywords
- Textual Analysis
- Monetary Policy
- Central Bank Communication
- Committee Members
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Finance
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Royal Economic Society / Scotish Economic Society
Rambaccussing, D. (Chair)
5 Apr 2023Activity: Participating in or organising an event types › Participation in conference