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Look who’s Talking: Individual Committee members’ impact on inflation expectations

Dooruj Rambaccussing, Craig Menzies and Andrzej Kwiatkowski

No 305, Dundee Discussion Papers in Economics from Economic Studies, University of Dundee

Abstract: We explore how speeches from individual members of the Monetary Policy Committee impact on inflation expectations, as proxied by the implied forward rate. Computational linguistics tools are used to quantify the sentiment (tonality) of individual speeches of members. External speakers have calming e ects on future expected inflation, whereas the e ects are somewhat mixed for the Bank’s Governor and the remaining internal members of the Committee. Members who deliver more speeches make the final selection in the model of the best fit. However, experience at the aggregate level does not unanimously imply more credibility. Speeches previously delivered by a selected few calm inflation expectations. The response to tonality di ers when considering pre-crisis, crisis and post-crisis regimes. The findings point out that markets’ are more responsive to the signals emitted by individual speeches in the post-crisis era.

Keywords: Textual Analysis; Monetary Policy; Central Bank Communication; Committee Members (search for similar items in EconPapers)
JEL-codes: D12 D84 E52 G53 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2022-06
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
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