Deciphering Monetary Policy Committee Minutes with Text Mining Approach: A Case of South Korea

Youngjoon Lee, Soohyon Kim and Ki Young Park
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Youngjoon Lee: Yonsei University
Soohyon Kim: Bank of Korea
Ki Young Park: Yonsei University

No 2018rwp-132, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: We quantify the Monetary Policy Committee (MPC) minutes of the Bank of Korea (BOK) using text mining approach. We propose a novel approach using a field-specific Korean dictionary and contiguous sequence of words (n-grams) to better capture the subtlety of central bank communication. We find that our lexicon-based indicators help explain the current and future BOK monetary policy decisions when considering an augmented Taylor rule, suggesting that they contain additional information beyond the currently available macroeconomic variables. Our indicators remarkably outper- form English-based textual classifications, a media-based measure of economic policy uncertainty, and a data-based measure of macroeconomic uncertainty. Our empirical re- sults also emphasize the importance of using a field-specific dictionary and the original Korean text.

Keywords: monetary policy; text mining; central banking; Bank of Korea; Taylor rule (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Pages: 42pages
Date: 2018-10
New Economics Papers: this item is included in nep-big, nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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