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Bank Deposits Flows and Textual Sentiment: When an ECB President's speech is not just a speech

Dimitrios Anastasiou () and Apostolos G. Katsafados

MPRA Paper from University Library of Munich, Germany

Abstract: We investigate whether the so-called textual sentiment has any impact on European depositors’ behavior to withdraw their deposits. After the manual collection of monthly speeches of the president of the European Central Bank (ECB hereafter) we apply textual analysis techniques following the methodology of Loughran and McDonald (2011) and we construct two alternative sentiments able to capture the perceived uncertainty. We find that high frequency of uncertainty and weak modal words in the monthly speeches of the president of the ECB leads both households and non-financial corporations to withdraw their bank deposits. We also find that these textual sentiments have greater impact on non-financial corporations. These findings suggest that regulators and policy makers could expand the already existing early-warning systems for the banking sector by taking into consideration the frequency of uncertainty and weak modal words in the ECB president’s speeches.

Keywords: European deposit flows; bank runs; ECB President's speeches; textual analysis; textual sentiment (search for similar items in EconPapers)
JEL-codes: D8 D80 G0 G02 G2 G20 G21 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-cba and nep-eec
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