Tweeting on Monetary Policy and Market Sentiments: The Central Bank Surprise Index

Donato Masciandaro (), Davide Romelli and Gaia Rubera

No 20134, BAFFI CAREFIN Working Papers from BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy

Abstract: This paper explores the relationship between central bank communication and market sentiment, and proposes a new measure. Market sentiment is proxied using a Twitter-based metric: the Central Bank Surprise Index. The empirical study covers three cases: the Federal Reserve, the European Central Bank and the Bank of England.

Keywords: monetary policy; central bank communication; financial market; social media; Twitter; Federal Reserve System; European Central Bank; Bank of England; Bank of Japan (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G14 G15 G41 (search for similar items in EconPapers)
Pages: 26
Date: 2020
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-mon and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:baf:cbafwp:cbafwp20134

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