Predictive power of the sentiment of the Monetary Policy Council

Tomasz P. Kostyra ()
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Tomasz P. Kostyra: Citibank Europe Plc

Bank i Kredyt, 2025, vol. 56, issue 5, 543-556

Abstract: This study explores the predictive power of the sentiment captured in the minutes of the Monetary Policy Council (MPC) meetings regarding the setting of the reference interest rate in Poland. It assesses its usefulness in forecasting the returns on financial markets. The sentiment is computed with the VADER analysis tool. The release of the MPC meeting minutes impacts stock and Treasury bond markets but appears to have negligible effect on the foreign exchange market. Adding the sentiment as a feature enhances the forecast accuracy of daily stock index returns and bond yield changes generated by the LSTM machine learning models.

Keywords: sentiment analysis; natural language processing; forecasting; machine learning; LSTM (search for similar items in EconPapers)
JEL-codes: C53 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:56:y:2025:i:5:p:543-556

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