The effects of the ECB communications on financial markets before and during COVID-19 pandemic

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dc.contributor.authorAlfieri, Luca
dc.contributor.authorEratalay, Mustafa Hakan
dc.contributor.authorLapitskaya, Darya
dc.contributor.authorSharma, Rajesh
dc.date.accessioned2022-05-23T16:55:35Z
dc.date.available2022-05-23T16:55:35Z
dc.date.issued2022
dc.description.abstractThe 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 banks’ communications can affect different financial sectors are more limited. In this paper, we use different sentiment and topic indices derived from the European Central Bank’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.en
dc.identifier.urihttp://hdl.handle.net/10062/82156
dc.language.isoengen
dc.relationinfo:eu-repo/grantAgreement/EC/H2020/822781///GROWINPROen
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectmonetary policyen
dc.subjectcentral bankingen
dc.subjecttext miningen
dc.subjectCOVID-19en
dc.titleThe effects of the ECB communications on financial markets before and during COVID-19 pandemicen
dc.typeinfo:eu-repo/semantics/articleen

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