Template-type: ReDIF-Paper 1.0
Author-Name: Donato Masciandaro
Author-Name:Davide Romelli
Author-Name:Gaia Rubera
Title:Tweeting on Monetary Policy and Market Sentiments: The Central Bank Surprise Index
Abstract: This paper explores the relationship between central bank communication and market sentiment, and proposes a new measure. Market sentiment is proxied using a Twitter-based metric: the Central Bank Surprise Index. The empirical study covers three cases: the Federal Reserve, the European Central Bank and the Bank of England.
Classification-JEL: E44, E52, E58, G14, G15, G41
Keywords: monetary policy, central bank communication, financial market, social media, Twitter, Federal Reserve System, European Central Bank, Bank of England, Bank of Japan
Length: 26
Number: 20134
Creation-Date: 2020
File-URL: https://repec.unibocconi.it/baffic/baf/papers/cbafwp20134.pdf
File-Format: application/pdf
File-Size: 627
Handle: RePEc:baf:cbafwp:cbafwp20134