Artificial Intelligence and Central Bank Communication: The Case of the ECB
Artificial Intelligence and Central Bank Communication: The Case of the ECB
Autor: |
Mgr. Nicolas Fanta, prof. Roman Horváth Ph.D. |
Typ: |
IES Working Papers |
Rok: |
2023 |
Číslo: |
29 |
ISSN / ISBN: |
|
Publikováno v: |
IES Working Papers 29/2023 |
Místo vydání: |
Praha |
Klíčová slova: |
Artificial intelligence, central bank communication, monetary policy |
JEL kódy: |
E52, E58 |
Citace: |
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. |
Abstrakt: |
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. |
Ke stažení: |
wp_2023_29_fanta, horvath |