Text-Based Identification of Monetary Policy Shocks

Pelle Almgren ()
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Pelle Almgren: Department of Economics, Lund University, Postal: School of Economics and Management, Box 7080, S-220 07 Lund, Sweden

No 2026:10, Working Papers from Lund University, Department of Economics

Abstract: This paper identifies monetary policy shocks for Sweden. Based on the written language in documents prepared by staff head of Riksbank policy meetings, I construct text-based regressors that are shown to systematically predict shocks identified with standard methods such as the Romer and Romer (2004) Greenbook approach and high-frequency identification. Defining text-based monetary policy shocks as the part of the standard shock that is uncorrelated with this rich nonstandard source of information, I study the effect of monetary policy on key monetary aggregates using local projections. The dynamic responses to my text-based policy shocks are in line with theoretical expectations for a majority of variables at both quarterly and annual frequency. Text-based Romer and Romer shocks are more in line with ’textbook’ responses compared to high-frequency based shocks. All results are robust to alternative text-analytic implementations, model specifications and lag length selection in local projections.

Keywords: Monetary Policy Shocks; Textual Analysis; Riksbank; BERT; Local Projections (search for similar items in EconPapers)
JEL-codes: C22 C38 C45 E32 E52 E58 (search for similar items in EconPapers)
Pages: 89 pages
Date: 2026-09-10
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