Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297942 
Year of Publication: 
2021
Citation: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 21 [Issue:] 4 [Year:] 2021 [Pages:] 141-153
Publisher: 
Elsevier, Amsterdam
Abstract: 
Central Bank speeches usually function as aggregators of internal quantitative and qualitative analysis of the institutions regarding the macro economy, the monetary policy and the health of the financial systems. Speeches usually function as a summary of the current status of a countries economic health, the undergoing trends and some future perspectives of the global economy. In this study departing from classical econometrics we employ natural language processing technologies in combination with machine learning techniques in order to filter out the most important signals in the corpus of speeches and translate into a sentiment index for forecasting the future financial markets behaviour. In our analysis, it is evident that central banker's expectations on economy tend to exhibit a predictive ability for financial markets turmoil. Using a combination of dictionaries which are either predefined or build based on historical speeches of the corpus we train an Extreme Gradient Boosting model that generates a sentiment index which signals turmoil with acceptable accuracy when passing a specific threshold.
Subjects: 
Machine learning
Sentiment analysis
Text mining
XGboost
JEL: 
G01
G21
C53
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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