This research seminar will explore 'Federal Reserve Communications Sentiment's Impact on Target Rate Discovery'- Dr. Juan Arismendi-Zambrano
We construct a communication risk profile of the US Federal Reserve Chairmen by measuring their communications’ sentiment. Sentiment is measured by a text sentiment categorisation method that projects text into a dictionary of words with associated sentiment (movie critics, tweets opinions) by using, a i) naive Bayes classifier software , ii) maximum entropy, and iii) support vector machines (SVM) classification techniques (Pang et. al. 2002). Communication’s sentiment impact into the volatility of the interest rates is analysed. Results show that there is an significant difference in the sentiment of the communications, and that the sentiment plays a role in diminishing the volatility of the Federal Reserve announcements.
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Full Schedule of School of Business Research Seminars for this academic year.