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The ECB Press Conference Statement Deriving a New Sentiment Indicator for the Euro Area

Author

Listed:
  • Dimitrios Kanelis
  • Pierre L. Siklos

Abstract

We analyze the introductory statements of the ECB president and derive new sentiment indicators for the euro area based on a novel approach. To evaluate sentiment, we utilize a Large Language Model, namely FinBERT, which classifies the verbal sentiment of economics and finance-related textual data. We find that the ECB's conveyed sentiment about monetary policy, which is influenced by the economic outlook and the state of the euro area macroeconomy as expressed in speeches, plays a significant role in shaping the content of press conferences following a Governing Council decision. In contrast, speech sentiment regarding financial stability does not significantly influence introductory statements.

Suggested Citation

  • Dimitrios Kanelis & Pierre L. Siklos, 2024. "The ECB Press Conference Statement Deriving a New Sentiment Indicator for the Euro Area," CAMA Working Papers 2024-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2024-10
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2024-02/10_2024_kanelis_siklos.pdf
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    More about this item

    Keywords

    ECB; communication; financial stability; FinBERT; monetary policy; sentiment analysis;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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