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Deciphering Monetary Policy Committee Minutes with Text Mining Approach: A Case of South Korea

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  • Youngjoon Lee

    (Yonsei University)

  • Soohyon Kim

    (Bank of Korea)

  • Ki Young Park

    (Yonsei University)

Abstract

We quantify the Monetary Policy Committee (MPC) minutes of the Bank of Korea (BOK) using text mining approach. We propose a novel approach using a field-specific Korean dictionary and contiguous sequence of words (n-grams) to better capture the subtlety of central bank communication. We find that our lexicon-based indicators help explain the current and future BOK monetary policy decisions when considering an augmented Taylor rule, suggesting that they contain additional information beyond the currently available macroeconomic variables. Our indicators remarkably outper- form English-based textual classifications, a media-based measure of economic policy uncertainty, and a data-based measure of macroeconomic uncertainty. Our empirical re- sults also emphasize the importance of using a field-specific dictionary and the original Korean text.

Suggested Citation

  • Youngjoon Lee & Soohyon Kim & Ki Young Park, 2018. "Deciphering Monetary Policy Committee Minutes with Text Mining Approach: A Case of South Korea," Working papers 2018rwp-132, Yonsei University, Yonsei Economics Research Institute.
    • Handle: RePEc:yon:wpaper:2018rwp-132
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    References listed on IDEAS

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    Cited by:

    1. Mario Gonzalez & Raul Cruz Tadle, 2022. "Monetary policy press releases: an international comparison," BIS Working Papers 1023, Bank for International Settlements.
    2. Mario Gonzalez & Raul Cruz Tadle, 2021. "Monetary Policy Press Releases: An International Comparison," Working Papers Central Bank of Chile 912, Central Bank of Chile.

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    More about this item

    Keywords

    monetary policy; text mining; central banking; Bank of Korea; Taylor rule;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • 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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