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首页> 外文期刊>European journal of political economy >Do the ECB's introductory statements help predict monetary policy? Evidence from a tone analysis
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Do the ECB's introductory statements help predict monetary policy? Evidence from a tone analysis

机译：欧洲央行的介绍性陈述是否有助于预测货币政策？ 来自语气分析的证据

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摘要

In this paper, we examine whether a tone shock derived from European Central Bank communi-cation helps predict ECB monetary policy decisions. To this purpose, we first use a bag-of-words approach and several dictionaries on the ECB?s Introductory Statements to derive a measure of tone. Next, we orthogonalise the tone measure on the latest data available to market partici-pants to compute the tone shock. Finally, we relate the tone shock to future ECB monetary policy decisions. We find that the tone shock is significantly and positively related to future ECB mone-tary policy decisions, even when controlling for market expectations of monetary policy and the Governing Council?s inter-meeting communication. Further extensions show that the predictive ability of the tone shock is robust to (i) the normalization of the tone measure, (ii) alternative market expectations of monetary policy, and (iii) the horizon of macroeconomic variables used in the Taylor-type monetary policy rule. These findings highlight an additional channel through which ECB communication improves monetary policy predictability, suggesting that the ECB may have private information that it communicates through its Introductory Statements.
机译：在本文中，我们检查欧洲中央银行通信的基调冲击是否有助于预测欧洲央行货币政策决策。为此目的，我们首先使用杂志的方法和欧洲ecb的介绍性陈述上的几个词典，以导出音调的衡量标准。接下来，我们正交的音调对市场术语可用的最新数据来计算音调震动。最后，我们将音调震惊与未来的欧洲央行货币政策决策相关。我们发现，即使在控制货币政策和理事会的间间沟通的市场预期时，语音震动也与未来的ECB MONE-TARY政策决策显着肯定地相关。进一步的延伸表明，音调冲击的预测能力是强大的，（i）货币政策的音调措施的正常化，（ii）货币政策的替代市场预期，（iii）泰勒型货币中使用的宏观经济变量的地平线政策规则。这些发现突出了额外的频道，通过该渠道通过该渠道通过该渠道通过该渠道提高了货币政策可预测性，这表明ECB可以通过其介绍性陈述具有私人信息。

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