Do central bank speeches help predict monetary policy?
(2023) DABN01 20231Department of Economics
Department of Statistics
- Abstract
- This paper studies the information contained in central bank speeches, focusing on predicting future monetary policy. Departing from previous papers which use mainly dictionary-based methods, we employ the deep transfer learning technique to process the text data. We find that central bank speeches can be used to predict policy rate change over the next three months (with an accuracy of 71.4%). In this paper, we also discuss the importance of each step in our suggested model workflow.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9118058
- author
- Vo, Quang LU
- supervisor
-
- Rani Basna LU
- Michal Kos LU
- organization
- course
- DABN01 20231
- year
- 2023
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Riksbank, ECB, DeBERTa, speeches, transfer learning
- language
- English
- id
- 9118058
- date added to LUP
- 2023-11-21 12:55:03
- date last changed
- 2023-11-21 13:35:53
@misc{9118058,
abstract = {{This paper studies the information contained in central bank speeches, focusing on predicting future monetary policy. Departing from previous papers which use mainly dictionary-based methods, we employ the deep transfer learning technique to process the text data. We find that central bank speeches can be used to predict policy rate change over the next three months (with an accuracy of 71.4%). In this paper, we also discuss the importance of each step in our suggested model workflow.}},
author = {{Vo, Quang}},
language = {{eng}},
note = {{Student Paper}},
title = {{Do central bank speeches help predict monetary policy?}},
year = {{2023}},
}