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Words Matter: Effects of Semantic Similarity of Monetary Policy Committee's Decision on Financial Market Volatility

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  • Sapphasak Chatchawan

Abstract

The objective of the paper is to study the effects of semantic similarity of the Bank of Thailand's press releases on volatility of financial markets in Thailand from 2010–2018. The Natural Language Processing (NLP) is employed to construct the semantic similarity from 72 press releases. The semantic similarity represents the public signal that the central bank delivers to the public in the framework of a Keynesian beauty contest game.

Suggested Citation

  • Sapphasak Chatchawan, 2019. "Words Matter: Effects of Semantic Similarity of Monetary Policy Committee's Decision on Financial Market Volatility," PIER Discussion Papers 121, Puey Ungphakorn Institute for Economic Research.
    • Handle: RePEc:pui:dpaper:121
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    Keywords

    Bank; Volatility; Financial Markets; Monetary Policy; Natural Language Processing;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • 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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