Who Sets the Tone? A Textual Analysis Approach to Understanding Monetary Policy

Ronnie Sadka, Academic Partner of State Street Associates, Haub Family Professor, Finance Department Chairperson, and Senior Associate Dean at Boston College, and Founding Partner at MKT MediaStats, will explore the ramifications of central bank monetary tones on future changes in yields. Monetary tones in media coverage of central bank policies across FOMC members are analyzed both during and within announcement periods. These tones are shown to contain predictive information pertaining to future fluctuations in yields (and FX) and these relations manifest across distinct prediction horizons and yield maturities.

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