umu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Measuring the information content of Riksbank meeting minutes
Umeå University, Faculty of Science and Technology, Department of Physics.
2019 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

As the amount of information available on the internet has increased sharply in the last years, methods for measuring and comparing text-based information is gaining popularity on financial markets. Text mining and natural language processing has become an important tool for classifying large collections of texts or documents. One field of applications is topic modelling of the minutes from central banks' monetary policy meetings, which tend to be about topics such as"inflation", "economic growth" and "rates". The central bank of Sweden is the Riksbank, which hold 6 annual monetary policy meetings where the members of the Executive Board decide on the new repo rate. Two weeks later, the minutes of the meeting is published and information regarding the future monetary policy is given to the market in the form of text. This information has before release been unknown to the market, thus having the potential to be market-sensitive. Using Latent Dirichlet Allocation (LDA), an algorithm used for uncovering latent topics in documents, the topics in the meeting minutes should be possible to identify and quantify. In this project, 8 topics were found regarding, among other, inflation, rates, household debt and economic development.

An important factor in analysis of central bank communication is the underlying tone in the discussions. It is common to classify central bankers as hawkish or dovish. Hawkish members of the board tend to favour tightening monetary policy and rate hikes, while more dovish members advocate a more expansive monetary policy and rate cuts. Thus, analysing the tone of the minutes can give an indication of future moves of the monetary policy rate.

The purpose of this project is to provide a fast method for analysing the minutes from the Riksbank monetary policy meetings. The project is divided into two parts. First, a LDA model was trained to identify the topics in the minutes, which was then used to compare the content of two consecutive meeting minutes. Next, the sentiment was measured as a degree of hawkishness or dovishness. This was done by categorising each sentence in terms of their content, and then counting words with hawkish or dovish sentiment. The resulting net score gives larger values to more hawkish minutes and was shown to follow the repo rate path well. At the time of the release of the minutes, the new repo rate is already known, but the net score does gives an indication of the stance of the board.

Place, publisher, year, edition, pages
2019.
Keywords [en]
Latent Dirichlet Allocation, Natual Language Processing, Central Bank communication, Hawk-o-meter
Keywords [sv]
Riksbank
National Category
Other Physics Topics
Identifiers
URN: urn:nbn:se:umu:diva-158151OAI: oai:DiVA.org:umu-158151DiVA, id: diva2:1304866
External cooperation
Nordea Markets
Subject / course
Examensarbete i teknisk fysik
Educational program
Master of Science Programme in Engineering Physics
Presentation
2019-03-22, 08:41
Supervisors
Examiners
Available from: 2019-04-15 Created: 2019-04-15 Last updated: 2019-04-17Bibliographically approved

Open Access in DiVA

fulltext(890 kB)127 downloads
File information
File name FULLTEXT01.pdfFile size 890 kBChecksum SHA-512
eb223fd5834c060553a7c1bd1c35e69fba46be4c9de9e4ed61ea0927fb9cb3aaa0c2a6779ff519c45ccb22b10b51ff1cb02ab638c0bca55957b8f31daf4835ca
Type fulltextMimetype application/pdf

By organisation
Department of Physics
Other Physics Topics

Search outside of DiVA

GoogleGoogle Scholar
Total: 127 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 789 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf