Research Seminar "The Effects of the ECB Communications on Financial Markets before and during COVID-19 Pandemic"

The paper aims to estimate the effects of the European Central Bank communications on sectoral daily financial data from 2013 to 2021. Previous literature has investigated the effects of communications of central banks and check their effects on macroeconomics and financial data. New opportunities offered by text mining analysis allow to find new insights on these aspects. However, studies focusing on how text mining's indices derived from central banks' communications can affect different financial sectors are limited. In this paper, we use different sentiment and topic indices derived from the European Central Bank's speeches.  The paper shows how these different topics and sentiment indices affect different financial sectors. Our results indicate that the topic of communications is more influential on returns of sectoral indices than the type of communications. Moreover, we find that monetary policy and financial stability topics are the most relevant. We also found that during the Covid-19 time the number of negative speeches is relevant for almost all the sectoral index returns.

Research seminar by Luca Alfieri.

4th May 2022 at 11.00 Join MS Teams.

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