Does the Central Bank's Text Sentiment Have A Financial Market Effect——The Research Based on the"China Monetary Policy Implementation Report"
Extracting sentiment information from text and studying its financial market effect have received considerable attention in existing studies.this paper uses natural language processing technology to construct a domain sentiment dictionary specially suitable to the"China Monetary Policy Implementation Report",based on the measurement of central bank's text sentiment according to the new dictionary,the financial market effect is empirically tested.The results show that:this dictionary can better capture the emotion words in the reports,and it is more accurate to measure the central bank's text sentiment by taking negative words and degree ad-verbs into account;the central bank's text sentiment has a significant effect on the yield and volatility of financial market,relatively speaking,the effect of the stock and bond markets is stronger than that of the foreign exchange market;due to the mean spillover and volatility spillover effect among sub-markets in the stock,bond and foreign exchange markets,the effect of the central bank's text sentiment on the financial market will be weakened or amplified.The central bank can enhance the financial market effect of its text sentiment by using more words with vivid emotional colors in monetary policy implementation reports and issuing English versions of monetary policy implementation reports,however,it should also prevent the risk of financial market volatility caused by spillover ef-fects between markets.
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