Do central bank sentiment shocks affect liquidity within the European Monetary Union? A computational linguistics approach
研究了欧洲央行管理委员会声明中的情绪对金融市场流动性的影响，发现经济展望情绪对货币市场流动性影响更大，而货币政策情绪影响股票、债券等流动性。
A common feature of recent financial crises has been the “drying up” of financial market liquidity. Increased attention, therefore, has been directed to central bank policy tools which can affect liquidity, even as policy rates approach the zero lower bound. This study examines the role of the European Central Bank (ECB) Governing Council’s communication in influencing financial market liquidity. A specialized lexicon is used to extract sentiments on i) monetary policy and ii) economic outlook from ECB Governing Council statements between 2006-2016. The analysis reveals that ECB sentiments on “economic outlook” are more consequential for money market (MM) liquidity than for currency, equity and bond (CEB) liquidity. Sentiments on “monetary policy” produce a statistically significant effect on CEB liquidity; with more “hawkish” sentiments leading to declines in liquidity. Volatility in global financial markets, however, plays a relatively more robust role than ECB sentiments in influencing market liquidity. The results are corroborated using an alternative and more generic quantifier called the Loughran and McDonald (LM) sentiment quantifier. The specialized lexicon provides richer inferences than the LM quantifier, however, since it captures the “hawkishness” or “dovishness” of monetary policy tone and the “positivity” or “negativity” of Governing Council sentiments on economic outlook.