Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185871
Authors: 
Heinemann, Friedrich
Ullrich, Katrin
Year of Publication: 
2007
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 143 [Year:] 2007 [Issue:] 2 [Pages:] 155-185
Abstract: 
In this analysis, the informational content of central bank rhetoric is assessed based on the experience with the ECB since 1999. 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.
Subjects: 
Taylor rule
wording
central bank communication
JEL: 
E52
E43
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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