The impact of macroeconomic news sentiment on interest rates
研究发现，从利率、通胀和劳动力市场相关文章中提取的情绪，能解释专业人士和消费者预期无法解释的短期利率变动，并改善短期收益率的预测准确性。
We provide evidence that sentiment extracted from articles related to interest rates, inflation, and the labor market has the ability to explain short-term interest rate movements that cannot be accounted for by professionals’ and consumers’ expectations. Additionally, sentiment can pin down two short rate regimes that are correlated with the business cycle. By combining these results with a yield curve model, we find that market sentiment has a statistically significant negative effect on the short end of the yield curve and a positive effect on the slope. We also show that sentiment improves the out-of-sample forecast accuracy of short-term yields.