Evolution of topics in central bank speech communication

Magnus Hansson ()
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Magnus Hansson: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden, https://economics.gu.se/

No 811, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: This paper studies the content of central bank speech communication from 1997 through 2020 and asks the following questions: (i) What global topics do central banks talk about? (ii) How do these topics evolve over time? I turn to natural language processing, and more specifically Dynamic Topic Models, to answer these questions. The analysis consists of an aggregate study of nine major central banks and a case study of the Federal Reserve, which allows for region specific control variables. I show that: (i) Central banks address a broad range of topics. (ii) The topics are well captured by Dynamic Topic Models. (iii) The global topics exhibit strong and significant autoregressive properties not easily explained by financial control variables.

Keywords: Central bank communication; Monetary policy; Textual analysis; Dynamic topic models; Narratives (search for similar items in EconPapers)
JEL-codes: C38 C55 E52 E58 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2021-10
New Economics Papers: this item is included in nep-ban, nep-his, nep-mac and nep-mon
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