Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Semantic Text Analysis of Central Bank Communication: Evidence for Spillover Effects in Foreign Exchange Spot Markets |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2021 |
| Abstract Text | I analyze the Federal Reserve's and European Central Bank's communication to assess the immediate market reaction in foreign exchange spot prices upon communication events. Unsupervised machine learning-based topic modelling classi es textual data from FOMC Minutes and ECB Monetary Policy Accounts into their underlying discussion topics, and lexical sentiment analysis tracks the sentiment and uncertainty within each topic over time. I nd that FX spot markets are sensitive to the discussion about asset purchase programmes. Currency pairs of developed countries react to uncertainty in nancial market related topics and react to monetary policy related discussion regarding interest rates and in ation in ECB communication. On the other hand, currency pairs involving an emerging market currency seem to be more reactive towards discussion about macroeconomic fundamentals. These ndings suggest that central banks are able to move FX spot prices via communication only, which hints towards the functioning of a signalling and coordination channel. |
| Export |
BibTeX
|