Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press

Shantanu Banerjee, Paul Cordova, Michiel De Pooter and Olesya Grishchenko

No 2025-048, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We apply natural language processing tools to news articles in the financial press to construct a sentiment index—an index of the perceived semantic orientation of monetary policy communications around scheduled Federal Open Market Committee (FOMC) meetings. To that end, we develop several dictionaries that capture various monetary policy tools: conventional monetary policy, asset purchases, and forward guidance. The surprises in the sentiment index around FOMC meetings announcements explain variation in major asset prices classes between May 1999 and November 2022. Sentiment index surprises are important for explaining the variation in asset prices beyond monetary policy surprises.

Keywords: Textual analysis; Semantic orientation; Sentiment index; Federal Reserve; FOMC; Hawkish; Dovish; Asset prices; Policy expectations; Conventional monetary policy; Asset purchases; Forward guidance; Zero-lower-bound; COVID (search for similar items in EconPapers)
JEL-codes: E00 E40 E58 G12 (search for similar items in EconPapers)
Pages: 51 p.
Date: 2025-07-07
New Economics Papers: this item is included in nep-cba and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.federalreserve.gov/econres/feds/files/2025048pap.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2025-48

DOI: 10.17016/FEDS.2025.048

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().