Dundee Discussion Papers in Economics 305: Look who’s Talking: Individual Committee members’ impact on inflation expectations

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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 languageEnglish
Place of PublicationDundee
PublisherUniversity of Dundee, Department of Economic Studies
Pages1-40
Number of pages40
Publication statusPublished - Jun 2022

Publication series

NameDundee Discussion Papers in Economics
No.305
ISSN (Electronic)1473-236X

Keywords

  • Textual Analysis
  • Monetary Policy
  • Central Bank Communication
  • Committee Members

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