Hamilton Institute Seminar

Wednesday, July 1, 2020 - 13:00 to 14:00
on Zoom. Meeting ID: 850 0777 3099, Password: 421335.

Speaker: ​Dr Juan Arismendi Zambrano, Maynooth University Department of Economics, Finance and Accounting

Title: "Federal Reserve Communications Sentiment's Impact on Target Rate Discovery"

Abstract: We construct a communication risk profile of the US Federal Reserve Chair by measuring the sentiment of their public statements during their tenure. Statements' sentiment is calculated by a Naïve Bayes text categorization method. Communications' sentiment impact on the interest rates price discovery process by the market after the FOMC meeting is analyzed. The results show that there is a significant difference in the communications' sentiment that plays a role in diminishing the volatility of Federal Reserve announcements and that can be effectively used as a tool for a monetary policy shocks. 

Bio: Dr. Juan Arismendi Zambrano is Lecturer (Assistant Professor) at the Department of Economics, Finance and Accounting at the National University of Ireland, Maynooth and Visiting Research Fellow of the ICMA Centre, University of Reading. He has a PhD in Finance (Quantitative Finance) from the ICMA Centre, Henley Business School (AACSB, AMBA, EQUIS). He is certified as PRM (Professional Risk Manager - PRMIA), FRM (Financial Risk Manager - GARP), CQF (Certificate in Quantitative Finance – 7City - Wilmott), Series 65 Investment Advisor Law Examination, and as Investment Advisor by the Certificate of Investment Management from the Chartered Institute of Securities and Investment (Unit 6 FSA Principles of Financial Regulation + Unit 5 Investment Management) from the United Kingdom. He has published in Finance, Numerical Algebra, Statistics, and Physics journals such as: `Biometrika’,  `Journal of Banking and Finance', `International Review of Financial Analysis', `Applied Mathematical Finance', `Numerical Linear Algebra with Applications', `Journal of Multivariate Analysis', and `Chaos Solitons & Fractals', and his work has been presented in conferences such as the European Finance Association Annual Meeting and the Financial Management Association. His actual research interests include Empirical Asset Pricing, Quantitative Finance, Multivariate Systemic Risk Modelling, Sentiment Analysis and Artificial Intelligence in Trading Systems.