Emotion in euro area monetary policy communication and bond yields: The Draghi era

Dimitrios Kanelis and Pierre L. Siklos

No 16/2025, Discussion Papers from Deutsche Bundesbank

Abstract: We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to precisely analyze how the vocal emo- tions and language of ECB President Mario Draghi affect the yields and yield spreads of major euro area economies. This novel approach to central bank communication reveals that vocal and verbal emotions significantly impact the yield curve, with effects varying in magnitude and direction. Our results reveal an important asymmetry in yield changes with positive signals raising German, French, and Spanish yields, while negative cues increase Italian yields. Our analysis of bond spreads and equity mar- kets indicates that positive communication influences the risk-free yield component, whereas negative communication affects the risk premium. Additionally, our study contributes by constructing a synchronized dataset for voice and language analysis.

Keywords: Artificial Intelligence; Asset Prices; Communication; ECB; High-Frequency Data; Speech Emotion Recognition (search for similar items in EconPapers)
JEL-codes: E50 E58 G12 G14 (search for similar items in EconPapers)
Date: 2025
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