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A central bankers’ sentiment index of global financial cycle

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  • Yu, Zhen
  • Liu, Wei
  • Yang, Fuyu

Abstract

We propose a novel Central Bankers’ Sentiment Index (CBSI) to measure the global financial cycle (GFC) using text analysis on 6,514 central bankers’ speeches. We find that the CBSI outperforms the conventional measures in capturing the GFC by tracing historical events and identifying turning points. Our empirical evidence further demonstrates the comparative advantages of CBSI in reflecting the capacities of central banks to aggregate financial system information and intervene in financial market operations. Our findings provide new insights into a more accurate measurement of the GFC and also contribute to a better understanding of the impact of central bank speeches.

Suggested Citation

  • Yu, Zhen & Liu, Wei & Yang, Fuyu, 2023. "A central bankers’ sentiment index of global financial cycle," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005330
    DOI: 10.1016/j.frl.2023.104161
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    More about this item

    Keywords

    Global financial cycle; Sentiment; Central bankers’ speeches;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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