Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach
Hamza Bennani () and
No 2021-6, EconomiX Working Papers from University of Paris Nanterre, EconomiX
We introduce an original dataset based on the qualitative content of the Regional Economic Outlook (REO) reports published by the International Monetary Fund (IMF). Exploiting this rich database, we gauge several measures of IMF sentiment based on the REO reports towards 16 countries in three regions, Asia and Pacific, Europe and Western Hemisphere, from 2007 to 2018 and examine their impact on financial markets. We find that the qualitative content of the REO reports has significant repercussions on stock market returns in Europe and bond yields in Asia and Pacific over short time horizons, these impacts disappearing over time. We also demonstrate that the impact of IMF sentiment is robust to the use of analternative sentiment measure that focuses exclusively on negative words.
Keywords: Financial markets; High frequency; IMF; Sentiment index; Text analysis (search for similar items in EconPapers)
JEL-codes: F53 G15 Z13 (search for similar items in EconPapers)
Pages: 36 pages
New Economics Papers: this item is included in nep-cwa, nep-fdg and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2021-6
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