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Beyond Words: Fed Chairs' Voice Sentiments and US Bank Stock Price Crash Risk

Author

Listed:
  • Dimitrios Anastasiou

    (Athens University of Economics and Business - Department of Business Administration)

  • Apostolos G. Katsafados

    (Athens University of Economics and Business - Department of Accounting and Finance; Bank of Greece)

  • Steven Ongena

    (University of Zurich - Department Finance; Swiss Finance Institute; KU Leuven; NTNU Business School; Centre for Economic Policy Research (CEPR))

  • Christos Tzomakas

    (Athens University of Economics and Business)

Abstract

Building on the methodology of Gorodnichenko et al. (2023), we reconstruct and propose a novel measure that quantifies the voice sentiment of the Chair of the Federal Reserve press conference responses and examine its impact on the stock price crash risk of U.S. banks. We find that a more positive vocal sentiment, indicative of happiness, significantly reduces banks' ex-ante crash risk, whereas negative emotions, such as sadness and anger, amplify it. Our findings suggest that, beyond the textual content of monetary policy statements, the emotional delivery of central bank communication plays a critical role in shaping financial stability outcomes.

Suggested Citation

  • Dimitrios Anastasiou & Apostolos G. Katsafados & Steven Ongena & Christos Tzomakas, 2025. "Beyond Words: Fed Chairs' Voice Sentiments and US Bank Stock Price Crash Risk," Swiss Finance Institute Research Paper Series 25-72, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2572
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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