Fiche du document
21 août 2023
- handle: 10670/1.jkboap
- hal: hal-04202545
- doi: 10.1007/s10290-023-00509-1
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s10290-023-00509-1
info:eu-repo/semantics/OpenAccess
Mots-clés
G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets G - Financial Economics Z - Other Special Topics/Z.Z1 - Cultural Economics • Economic Sociology • Economic Anthropology/Z.Z1.Z13 - Economic Sociology • Economic Anthropology • Social and Economic StratificationSujets proches
Bond markets Market, BondCiter ce document
Hamza Bennani et al., « The effect of IMF communication on government bond markets: insights from sentiment analysis », HAL-SHS : économie et finance, ID : 10.1007/s10290-023-00509-1
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Résumé
This article examines whether the IMF sentiment conveyed by the Regional Economic Outlook (REO) provides new information capable of influencing government bond markets. To measure IMF sentiment, we use text mining techniques on an original dataset based on the qualitative content of the REO reports for 16 countries across three regions covered by the REO, Asia and Pacific, Europe, and Western Hemisphere, from 2005 to 2018. Our results suggest that the qualitative content of the REO reports has significant repercussions on bond yields, particularly in the Asia and Pacific region, and provides a positive signal in bond markets of countries participating in an IMF program in the Europe and Western Hemisphere regions. IMF sentiment towards the leading trade partner can also be an essential source of bond markets’ reactions. These findings are robust when controlling for IMF quantitative forecasts in the empirical procedure, accounting for an alternative sentiment measure and controlling for other potential determinants of bond yields. They thus shed new light on the importance of IMF communication for guiding and managing markets’ expectations.