Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320429 
Year of Publication: 
2025
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 16/2025
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to precisely analyze how the vocal emo- tions and language of ECB President Mario Draghi affect the yields and yield spreads of major euro area economies. This novel approach to central bank communication reveals that vocal and verbal emotions significantly impact the yield curve, with effects varying in magnitude and direction. Our results reveal an important asymmetry in yield changes with positive signals raising German, French, and Spanish yields, while negative cues increase Italian yields. Our analysis of bond spreads and equity mar- kets indicates that positive communication influences the risk-free yield component, whereas negative communication affects the risk premium. Additionally, our study contributes by constructing a synchronized dataset for voice and language analysis.
Subjects: 
Artificial Intelligence
Asset Prices
Communication
ECB
High-Frequency Data
Speech Emotion Recognition
JEL: 
E50
E58
G12
G14
ISBN: 
978-3-98848-037-8
Document Type: 
Working Paper

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