Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246186 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2609
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper proposes an econometric framework for nowcasting the monetary policy stance and decisions of the European Central Bank (ECB) exploiting the ow of conventional and textual data that become available between two consecutive press conferences. Decompositions of the updated nowcasts into variables' marginal contribution are also provided to shed light on the main drivers of the ECB's reaction function at every point in time. In out-of-sample nowcasting experiments, the model provides an accurate tracking of the ECB monetary policy stance and decisions. The inclusion of textual variables contributes signifi- cantly to the gradual improvement of the model performance.
Subjects: 
Natural Language Processing
Dynamic Factor Model
Monetary Policy
Forecasting
JEL: 
E37
E47
E52
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4862-3
Document Type: 
Working Paper

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