Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery

Juan Arismendi-Zambrano, Massimo Guidolin and Alessia Paccagnini
Authors registered in the RePEc Author Service: Juan Carlos Arismendi Zambrano ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We construct a communication risk profile of the U.S. Federal Reserve Chair by measuring the sentiment of their public statements during their tenure. Communications’ sentiment impact on the interest rates price discovery process by the market after the FOMC meeting is analyzed. The results show that there is a significant difference in the communications’ sentiment that is heterogeneous on the personal characteristics, controlling for the economic environment, and that the Chair communications’ sentiment plays a role in diminishing the surprise of Federal Reserve announcements.

Keywords: Federal Reserve; Monetary Policy; Communications; Federal Funds Rate; Machine Learning (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 G21 G28 G41 (search for similar items in EconPapers)
Pages: 84 pages
Date: 2020-12
New Economics Papers: this item is included in nep-cba, nep-cmp and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-105

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