Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era

Vol: 
75/2022
Author name: 
Kanelis D
Siklos PL
Year: 
2022
Month: 
December
Abstract: 

We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the yield curve. However, their impact varies in size and sign: positive signals raise German and French yields, while Italian yields react negatively, which is reflected in an increase in yield spreads. A by-product of our study is the construction and provision of a synchronized data set for voice and language.

Publication file: 

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