Beyond Words: Fed Chairs' Voice Sentiments and US Bank Stock Price Crash Risk

Dimitrios Anastasiou, Apostolos G. Katsafados, Steven Ongena and Christos Tzomakas
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Dimitrios Anastasiou: Athens University of Economics and Business - Department of Business Administration
Apostolos G. Katsafados: Athens University of Economics and Business - Department of Accounting and Finance; Bank of Greece
Steven Ongena: University of Zurich - Department Finance; Swiss Finance Institute; KU Leuven; NTNU Business School; Centre for Economic Policy Research (CEPR)
Christos Tzomakas: Athens University of Economics and Business

No 25-72, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Building on the methodology of Gorodnichenko et al. (2023), we reconstruct and propose a novel measure that quantifies the voice sentiment of the Chair of the Federal Reserve press conference responses and examine its impact on the stock price crash risk of U.S. banks. We find that a more positive vocal sentiment, indicative of happiness, significantly reduces banks' ex-ante crash risk, whereas negative emotions, such as sadness and anger, amplify it. Our findings suggest that, beyond the textual content of monetary policy statements, the emotional delivery of central bank communication plays a critical role in shaping financial stability outcomes.

Keywords: US banks; Stock Price Crash Risk; Voice Sentiment; Financial Stability (search for similar items in EconPapers)
JEL-codes: G01 G21 G41 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2025-09
New Economics Papers: this item is included in nep-big, nep-cba and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2572

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