Introducing Textual Measures of Central Bank Policy-Linkages Using ChatGPT
Lauren Caroline Leek,
Simeon Bischl and
Maximilian Freier
Additional contact information
Lauren Caroline Leek: European University Institute
No 78wnp, SocArXiv from Center for Open Science
Abstract:
While institutionally independent, monetary policy-makers do not operate in a vacuum. The policy choices of a central bank are intricately linked to government policies and financial markets. We present novel indices of monetary, fiscal and financial policy-linkages based on central bank communication, namely, speeches by 118 central banks worldwide from 1997 to mid-2023. Our indices measure not only instances of monetary, fiscal or financial dominance but, importantly, also identify communication that aims to coordinate monetary policy with the government and financial markets. To create our indices, we use a Large Language Model (ChatGPT 3.5-0301) and provide transparent prompt-engineering steps, considering both accuracy on the basis of a manually coded dataset as well as efficiency regarding token usage. We also test several model improvements and provide descriptive statistics of the trends of the indices over time and across central banks including correlations with political-economic variables.
Date: 2024-02-14
New Economics Papers: this item is included in nep-ain, nep-ban, nep-big, nep-cba, nep-cmp, nep-his and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
https://osf.io/download/65ce498a6d0cb802761a959e/
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:78wnp
DOI: 10.31219/osf.io/78wnp
Access Statistics for this paper
More papers in SocArXiv from Center for Open Science
Bibliographic data for series maintained by OSF ().