Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials

Linas Jurksas () and Vitalijus Klincevicius
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Linas Jurksas: Bank of Lithuania
Vitalijus Klincevicius: Strata

No 20, Bank of Lithuania Discussion Paper Series from Bank of Lithuania

Abstract: The aim of this paper is to assess how relevant is the topic of sovereign bond valuations in official ECB Executive Board member speeches and, in particular, under what circumstances do ECB officials begin communicating the driving factors of sovereign bond pricing. For this purpose, we downloaded over 2000 public ECB Executive Board member speeches and applied various text mining techniques. The visual analysis revealed that the importance of the topic of sovereign bond pricing and related risk factors in ECB officials’ speeches has greatly fluctuated over time. The main structural break points were linked to the financial market turbulences, but this topic, possibly due to the introduction of sovereign bond purchases, remained relatively popular even after stress episodes. The linkages between the publicly communicated terms of sovereign bond pricing and related risk factors were rather complex and change in respect to the market situation. Meanwhile, the sentiment balance of the credit risk factor was usually on the negative side, while the ones of other terms were much more neutral.

Keywords: ECB Executive Board; speeches; sovereign bonds; risk factors; correspondence analysis; sentiment analysis (search for similar items in EconPapers)
JEL-codes: C80 E43 E58 G12 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2020-06-01
New Economics Papers: this item is included in nep-eec and nep-mac
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