Quantitative Easing and Tapering Uncertainty: Evidence from Twitter

Annette Meinusch and Peter Tillmann

Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre

Abstract: In this paper we analyze the extent to which people’s changing beliefs about the timing of the exit from Quantitative Easing (“tapering”) impact asset prices. To quantify beliefs of market participants, we use data from Twitter, the social media application. Our data set covers the entire Twitter volume on Federal Reserve tapering in 2013. Based on the time series of beliefs about an early or late tapering, we estimate a structural VAR-X model under appropriate sign restrictions on the impulse responses to identify a belief shock. The results show that shocks to tapering beliefs have non-negligible effects on interest rates and exchange rates. We also derive measures of monetary policy uncertainty and disagreement of beliefs, respectively, and estimate their impact. The paper is the first to use social media data for analyzing monetary policy and also adds to the rapidly growing literature on macroeconomic uncertainty shocks.

Keywords: Tapering; Unconventional Monetary Policy; Uncertainty; Quantitative Easing; Social Media (search for similar items in EconPapers)
JEL-codes: E32 E44 E52 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2016-08
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.seacen.org/publications/RePEc/702003-100401-PDF.pdf (application/pdf)

Related works:
Journal Article: Quantitative Easing and Tapering Uncertainty: Evidence from Twitter (2017)
Working Paper: Quantitative Easing and Tapering Uncertainty: Evidence from Twitter (2015)
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:sea:wpaper:wp15

Access Statistics for this paper

More papers in Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre Contact information at EDIRC.
Bibliographic data for series maintained by Azharin ().