Deciphering Monetary Policy Committee Minutes with Text Mining Approach: A Case of South Korea
42 Pages Posted: 31 Aug 2018 Last revised: 16 Sep 2018
Date Written: September 3, 2018
We quantify the Monetary Policy Committee (MPC) minutes of the Bank of Korea (BOK) using text mining approach. We propose a novel approach using a field-specific Korean dictionary and contiguous sequence of words (n-grams) to better capture the subtlety of central bank communication. We find that our lexicon-based indicators help explain the current and future BOK monetary policy decisions when considering an augmented Taylor rule, suggesting that they contain additional information beyond the currently available macroeconomic variables. Our indicators remarkably outperform English-based textual classifications, a media-based measure of economic policy uncertainty, and a data-based measure of macroeconomic uncertainty. Our empirical results also emphasize the importance of using a field-specific dictionary and the original Korean text.
Keywords: monetary policy, text mining, central banking, Bank of Korea, Taylor rule
JEL Classification: E43, E52
Suggested Citation: Suggested Citation