THE EFFECTS OF THE ECB COMMUNICATIONS ON FINANCIAL MARKETS BEFORE AND DURING COVID-19 PANDEMICAbstract:The paper aims to estimate the effects of the European Central Bank communications on the sectoral returns of STOXX Europe 600 from 2013 to 2021. Previous literature has investigated the effects of communications of central banks and checked their effects on macroeconomics and financial data. New opportunities offered by text mining analysis allow us to find new insights into these aspects. However, studies focusing on how text mining indices derived from central banksâ€™ communications can affect different financial sectors are more limited. In this paper, we use different sentiment and topic indices derived from the European Central Bankâ€™s speeches. The paper shows how these different topics and sentiment indices affect the returns on different financial sectors. Our results indicate that the topic of communications is more influential on returns of sectoral indices than the type of communications. Moreover, we find that monetary policy and financial stability topics are the most relevant. We also find that during the COVID-19 time, the number of negative speeches is relevant for almost all the sectoral index returns

Alfieri, Luca; Eratalay, Mustafa Hakan; Lapitskaya, Darya; Sharma, Rajesh

THE EFFECTS OF THE ECB COMMUNICATIONS ON FINANCIAL MARKETS BEFORE AND DURING COVID-19 PANDEMICAbstract:The paper aims to estimate the effects of the European Central Bank communications on the sectoral returns of STOXX Europe 600 from 2013 to 2021. Previous literature has investigated the effects of communications of central banks and checked their effects on macroeconomics and financial data. New opportunities offered by text mining analysis allow us to find new insights into these aspects. However, studies focusing on how text mining indices derived from central banksâ€™ communications can affect different financial sectors are more limited. In this paper, we use different sentiment and topic indices derived from the European Central Bankâ€™s speeches. The paper shows how these different topics and sentiment indices affect the returns on different financial sectors. Our results indicate that the topic of communications is more influential on returns of sectoral indices than the type of communications. Moreover, we find that monetary policy and financial stability topics are the most relevant. We also find that during the COVID-19 time, the number of negative speeches is relevant for almost all the sectoral index returns

Luca Alfieri, Mustafa Hakan Eratalay, Darya Lapitskaya and Rajesh Sharma

No 140, University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia)

Keywords: Monetary policy; Central banking; Text mining; COVID-19 (search for similar items in EconPapers)
Pages: 126 pages
Date: 2022
New Economics Papers: this item is included in nep-big, nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.mtk.ut.ee/sites/default/files/mtk/RePEc/mtk/febpdf/febawb140.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.mtk.ut.ee/sites/default/files/mtk/RePEc/mtk/febpdf/febawb140.pdf [301 Moved Permanently]--> https://mtk.ut.ee/sites/default/files/mtk/RePEc/mtk/febpdf/febawb140.pdf [302 Found]--> https://majandus.ut.ee/et%c2%a0)

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:mtk:febawb:140

Access Statistics for this paper

More papers in University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia) Contact information at EDIRC.
Bibliographic data for series maintained by Anne Reino ().