@techreport{Heinemann2005Does,
abstract = {In this analysis, the informational content of central bank rhetoric is assessed based on the
experience with the ECB since 1999. Among the ECB?s communication channels we focus on the
monthly press conferences. Based on a counting of certain signal words we construct a wording
indicator reflecting the ?hawkishness? of monetary rhetorics. For the construction, we develop an
objective algorithm representing a learning process of ECB observers. We then integrate this
indicator into a standard Taylor type ordered probit model for the explanation of the interest rate.
We show that the wording indicator can improve the model?s fit when added to the standard
explanatory variables. However, a model based solely on this indicator performs worse than the
baseline. The results are confirmed by out of sample analysis where the determination of the
wording indicators? weights is based on the early ECB period which, subsequently, is excluded
from the tests. Our conclusion is that linguistic analysis can improve but not substitute more
rigorous forecasting techniques based on hard economic data.},
address = {Mannheim},
author = {Friedrich Heinemann and Katrin Ullrich},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E43; E52; 330; Taylor rule; wording; central bank communication; Zentralbank; Europ\"{a}ische Wirtschafts- und W\"{a}hrungsunion; Staatliche Information; Informationswert; Taylor-Regel; Sch\"{a}tzung; EU-Staaten},
language = {eng},
number = {05-70},
publisher = {Zentrum f\"{u}r Europ\"{a}ische Wirtschaftsforschung (ZEW)},
title = {Does it Pay to Watch Central Bankers' Lips? The Information Content of ECB Wording},
type = {ZEW Discussion Papers},
url = {http://hdl.handle.net/10419/24166},
year = {2005}
}
