Artificial Intelligence and Central Bank Communication: The Case of the ECB
Artificial Intelligence and Central Bank Communication: The Case of the ECB
| Author: | Mgr. Nicolas Fanta, prof. Roman Horváth Ph.D. |
|---|---|
| Type: | IES Working Papers |
| Rok: | 2023 |
| Number: | 29 |
| ISSN / ISBN: | |
| Published on: | IES Working Papers 29/2023 |
| Publishing place: | Praha |
| Keywords: | Artificial intelligence, central bank communication, monetary policy |
| JEL codes: | E52, E58 |
| Suggested citation: | Fanta N., Horvath R. (2023): " Artificial Intelligence and Central Bank Communication: The Case of the ECB " IES Working Papers 29/2023. IES FSV. Charles University. |
| Abstract: | We examine whether artificial intelligence (AI) can decipher European Central Bank’s communication. Employing 1769 inter-meeting verbal communication events of the European Central Bank’s Governing Council members, we construct an AI-based indicator evaluating whether communication is leaning towards easing, tightening or maintaining the monetary policy stance. We find that our AI-based indicator replicates well similar indicators based on human expert judgment but at much higher speed and at much lower costs. Using our AI-based indicator and a number of robustness checks, our regression results show that ECB communication matters for the future monetary policy even after controlling for financial market expectations and lagged monetary policy decisions. |
| Download: | wp_2023_29_fanta, horvath |
