IDEAS home Printed from https://ideas.repec.org/p/chb/bcchwp/930.html
   My bibliography  Save this paper

Sentimiento en el Informe de Estabilidad Financiera del Banco Central de Chile

Author

Listed:
  • J. Sebastián Becerra
  • Alejandra Cruces

Abstract

The purpose of the Financial Stability Report (FSR) is to report, on a semi-annual basis, recent macroeconomic and financial events that could affect the financial stability of the Chilean economy, such as the evolution of the indebtedness of the main credit users, the performance of the capital market, and the capacity of the financial system and the international financial position to adapt adequately to adverse economic situations. Together with the above, the FSR presents the policies and measures aimed at the normal functioning of the financial system, in order to promote knowledge and public debate on these issues. In this work, a methodology of text mining and sentiment analysis is proposed to estimate the tone of the FSR. Two products are generated from this work, a financial stability dictionary in Spanish and a Financial Sentiment Index. Based on OLS estimates, it is observed that a more optimistic tone of the FSR is in line with higher economic and credit activity, lower volatility in local and foreign financial asset prices, a more capitalized banking sector and lower political and economic uncertainty.

Suggested Citation

  • J. Sebastián Becerra & Alejandra Cruces, 2021. "Sentimiento en el Informe de Estabilidad Financiera del Banco Central de Chile," Working Papers Central Bank of Chile 930, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:930
    as

    Download full text from publisher

    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_930.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Nicholas Apergis & Ioannis Pragidis, 2019. "Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(1), pages 91-112, February.
    2. Kearney, Colm & Liu, Sha, 2014. "Textual sentiment in finance: A survey of methods and models," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 171-185.
    3. Apel, Mikael & Blix Grimaldi, Marianna, 2012. "The Information Content of Central Bank Minutes," Working Paper Series 261, Sveriges Riksbank (Central Bank of Sweden).
    4. Juan Sebastián Becerra & Andrés Sagner, 2020. "Twitter-Based Economic Policy Uncertainty Index for Chile," Working Papers Central Bank of Chile 883, Central Bank of Chile.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. María del Pilar Cruz N. & Hugo Peralta V. & Juan Pablo Cova M., 2022. "Utilización de noticias de prensa como indicador de confianza económica en tiempo real," Working Papers Central Bank of Chile 938, Central Bank of Chile.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Picault, Matthieu & Renault, Thomas, 2017. "Words are not all created equal: A new measure of ECB communication," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 136-156.
    2. Nicolò Fraccaroli & Alessandro Giovannini & Jean-François Jamet & Eric Persson, 2023. "Central Banks in Parliaments: A Text Analysis of the Parliamentary Hearings of the Bank of England, the European Central Bank, and the Federal Reserve," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 543-600, June.
    3. Moreno Bernal, Ángel Iván & Pedraz, Carlos González, 2024. "Sentiment analysis of the Spanish financial stability Report," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 913-939.
    4. Yan Luo & Linying Zhou, 2020. "Textual tone in corporate financial disclosures: a survey of the literature," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 17(2), pages 101-110, September.
    5. Vincent Choon-Seng Lim, 2017. "Press Releases and MPC Minutes Are They One And The Same?," Working Papers wp23, South East Asian Central Banks (SEACEN) Research and Training Centre.
    6. Bennani, Hamza, 2018. "Media coverage and ECB policy-making: Evidence from an augmented Taylor rule," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 26-38.
    7. Fraccaroli, Nicolò & Giovannini, Alessandro & Jamet, Jean-François & Persson, Eric, 2022. "Ideology and monetary policy. The role of political parties’ stances in the European Central Bank’s parliamentary hearings," European Journal of Political Economy, Elsevier, vol. 74(C).
    8. Rongjiang Cai & Tao Lv & Cheng Wang & Nana Liu, 2023. "Can Environmental Information Disclosure Enhance Firm Value?—An Analysis Based on Textual Characteristics of Annual Reports," IJERPH, MDPI, vol. 20(5), pages 1-21, February.
    9. František Dařena & Jan Přichystal, 2018. "Analysis of the Association between Topics in Online Documents and Stock Price Movements," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(6), pages 1431-1439.
    10. Prachi Mishra & Papa N’Diaye & Lam Nguyen, 2018. "Effects of Fed Announcements on Emerging Markets: What Determines Financial Market Reactions?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(4), pages 732-762, December.
    11. Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Working Papers hal-03459227, HAL.
    12. Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy, 2022. "COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic," Digital Finance, Springer, vol. 4(1), pages 17-61, March.
    13. Hansen, Stephen & McMahon, Michael & Tong, Matthew, 2019. "The long-run information effect of central bank communication," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 185-202.
    14. Tobback, Ellen & Nardelli, Stefano & Martens, David, 2017. "Between hawks and doves: measuring central bank communication," Working Paper Series 2085, European Central Bank.
    15. Picault, Matthieu & Pinter, Julien & Renault, Thomas, 2022. "Media sentiment on monetary policy: Determinants and relevance for inflation expectations," Journal of International Money and Finance, Elsevier, vol. 124(C).
    16. Stefan Angrick & Naoyuki Yoshino, 2020. "From Window Guidance to Interbank Rates: Tracing the Transition of Monetary Policy in Japan and China," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 279-316, June.
    17. Renato Camodeca & Alex Almici & Umberto Sagliaschi, 2018. "Sustainability Disclosure in Integrated Reporting: Does It Matter to Investors? A Cheap Talk Approach," Sustainability, MDPI, vol. 10(12), pages 1-34, November.
    18. Duygu Ider & Stefan Lessmann, 2022. "Forecasting Cryptocurrency Returns from Sentiment Signals: An Analysis of BERT Classifiers and Weak Supervision," Papers 2204.05781, arXiv.org, revised Mar 2023.
    19. Matteo Accornero & Mirko Moscatelli, 2018. "Listening to the buzz: social media sentiment and retail depositors' trust," Temi di discussione (Economic working papers) 1165, Bank of Italy, Economic Research and International Relations Area.
    20. Shuangyan Li & Guangrui Wang & Yongli Luo, 2022. "Tone of language, financial disclosure, and earnings management: a textual analysis of form 20-F," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-24, December.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:930. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alvaro Castillo (email available below). General contact details of provider: https://edirc.repec.org/data/bccgvcl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.