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Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach

Author

Listed:
  • Cécile Couharde

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Hamza Bennani

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Yoan Wallois

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

We introduce an original dataset based on the qualitative content of the Regional Economic Outlook (REO) reports published by the International Monetary Fund (IMF). Exploiting this rich database, we gauge several measures of IMF sentiment based on the REO reports towards 16 countries in three regions, Asia and Pacific, Europe and Western Hemisphere, from 2007 to 2018 and examine their impact on financial markets. We find that the qualitative content of the REO reports has significant repercussions on stock market returns in Europe and bond yields in Asia and Pacific over short time horizons, these impacts disappearing over time. We also demonstrate that the impact of IMF sentiment is robust to the use of an alternative sentiment measure that focuses exclusively on negative words.

Suggested Citation

  • Cécile Couharde & Hamza Bennani & Yoan Wallois, 2021. "Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach," Working Papers hal-04159751, HAL.
    • Handle: RePEc:hal:wpaper:hal-04159751
    Note: View the original document on HAL open archive server: https://hal.science/hal-04159751
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    Keywords

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    JEL classification:

    • F53 - International Economics - - International Relations, National Security, and International Political Economy - - - International Agreements and Observance; International Organizations
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification

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