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Evolution of topics in central bank speech communication

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  • Hansson, Magnus

    (Department of Economics, School of Business, Economics and Law, Göteborg University)

Abstract

This paper studies the content of central bank speech communication from 1997 through 2020 and asks the following questions: (i) What global topics do central banks talk about? (ii) How do these topics evolve over time? I turn to natural language processing, and more specifically Dynamic Topic Models, to answer these questions. The analysis consists of an aggregate study of nine major central banks and a case study of the Federal Reserve, which allows for region specific control variables. I show that: (i) Central banks address a broad range of topics. (ii) The topics are well captured by Dynamic Topic Models. (iii) The global topics exhibit strong and significant autoregressive properties not easily explained by financial control variables.

Suggested Citation

  • Hansson, Magnus, 2021. "Evolution of topics in central bank speech communication," Working Papers in Economics 811, University of Gothenburg, Department of Economics.
    • Handle: RePEc:hhs:gunwpe:0811
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    File URL: https://gupea.ub.gu.se/handle/2077/69745
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    References listed on IDEAS

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    More about this item

    Keywords

    Central bank communication; Monetary policy; Textual analysis; Dynamic topic models; Narratives;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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