Quantitative Easing and Tapering Uncertainty: Evidence from Twitter

Peter Tillmann and Annette Meinusch

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: In this paper we analyze the effects of changes in peoples' beliefs about the timing of the exit from Quantitative Easing ("tapering") on asset prices. To quantify beliefs of market participants, we use data from Twitter, the social media application, covering the entire Twitter volume on Federal Reserve tapering in 2013. Based on the time series of beliefs about an early or late tapering, we estimate a VAR model with appropriate sign restrictions on the impulse responses to identify a belief shock. The results show that shocks to tapering beliefs have strong and robust effects on interest rates, exchange rates and asset prices. We also derive measures of monetary policy uncertainty and disagreement of beliefs, respectively, and estimate their impact. The paper is the first to use social media data for

JEL-codes: E43 E52 F31 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-mon
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Quantitative Easing and Tapering Uncertainty: Evidence from Twitter (2017)
Working Paper: Quantitative Easing and Tapering Uncertainty: Evidence from Twitter (2016)
Working Paper: Quantitative Easing and Tapering Uncertainty: Evidence from Twitter (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:112906

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