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"Textual Analysis" Research seminar with Olesya Grischenko

16+
Мероприятие завершено

Приглашаем аспирантов и студентов принять участие в серии семинаров с д-ром Олесей Грищенко, Principal Economist, Board of Governors of the Federal Reserve System
28 и 30 декабря 2021, начало в 18.10

Олеся Грищенко, Ph.D.,
Finance, Stern School of Business, New York University. Principal Economist, Board of Governors of the Federal Reserve System

Textual Analysis

We apply natural language processing tools to news articles in the financial press to construct an index of the perceived semantic orientation of monetary policy communications around Federal Open Market Committee (FOMC) meetings. We then use changes in our index as a measure of monetary policy surprises, and we find that changes in market-perceived FOMC sentiment explain movements in asset prices during narrow event windows around scheduled FOMC meetings between May 1999 and June 2019.  We also document that most of this explanatory power appears to be driven by the pre-zero-lower-bound sample period. We compare our results with other sentiment indexes and find that our index has higher explanatory power for movements in various financial asset prices around FOMC meetings, even when we control for financial market-based measures of monetary policy surprises. Our results are robust to a number of alternative specifications of our index and to including several control variables in our baseline regressions.

Презентация основана на статье: "Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press", working paper joint with Shantanu Banerjee, Michiel De Pooter, Brad Strum, and Cait Walsh. 

Disclaimer: The views expressed in this presentation are solely those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other employee of the Federal Reserve System.

Регистрация

Мероприятие будет проходить в 2-х форматах - оффлайн (количество мест СТРОГО ограничено) и трансляция онлайн. Обратите внимание на требования университета к мероприятиям с участием студентов и аспирантов