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1 mars 2017
- ISIDORE Id: 10670/1.c008de...
- hal: hal-03457514
- SCIENCESPO: 2441/64veevce0i99oav223j3pkv1hf
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info:eu-repo/semantics/altIdentifier/hdl/2441/64veevce0i99oav223j3pkv1hf
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Mots-clés
Animal spirits Optimism Confidence FOMC Interest rate expectations Central Bank Communication Eurpean Central Bank Aggregate Effects E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination, Term Structure, and Effects E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their PoliciesSujets proches
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Fabien Labondance et al., « Central Bank sentiment and policy expectations », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.c008de...
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Résumé
We explore empirically the theoretical prediction that optimism or pessimism have aggregate effects,in the context of monetary policy. First, we quantify the tone conveyed by FOMC policymakers in theirstatements using computational linguistics. Second, we identify sentiment as the unpredictablecomponent of tone, orthogonal to fundamentals, expectations, monetary shocks and investors’ sentiment.Third, we estimate the impact of FOMC sentiment on the term structure of private interest rateexpectations using a high-frequency methodology and an ARCH model. Optimistic FOMC sentimentincreases policy expectations primarily at the one-year maturity. We also find that sentiment affectsinflation and industrial production beyond monetary shocks.
