Tweeting on Monetary Policy and Market Sentiments:The Central Bank Surprise Index

26 Pages Posted: 13 Mar 2020

See all articles by Donato Masciandaro

Donato Masciandaro

Bocconi University - Department of Economics

Davide Romelli

Trinity College (Dublin) - Department of Economics; Trinity College (Dublin)

Gaia Rubera

Bocconi University

Date Written: March 1, 2020

Abstract

This paper explores the relationship between central bank communication and market sentiment,
and proposes a new measure. Market sentiment is proxied using a Twitter-based metric: the
Central Bank Surprise Index. The empirical study covers three cases: the Federal Reserve, the
European Central Bank and the Bank of England.

Keywords: Monetary Policy, Central Bank Communication, Financial Market, Social Media, Twitter, Federal Reserve System, European Central Bank, Bank of England, Bank of Japan

JEL Classification: E44, E52, E58, G14, G15, G41

Suggested Citation

Masciandaro, Donato and Romelli, Davide and Rubera, Gaia, Tweeting on Monetary Policy and Market Sentiments:The Central Bank Surprise Index (March 1, 2020). BAFFI CAREFIN Centre Research Paper No. 2020-134, Available at SSRN: https://ssrn.com/abstract=3552699 or http://dx.doi.org/10.2139/ssrn.3552699

Donato Masciandaro (Contact Author)

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Davide Romelli

Trinity College (Dublin) - Department of Economics ( email )

Arts Building
Room 3014
Dublin
Ireland

Trinity College (Dublin) ( email )

2-3 College Green
Dublin, Leinster D2
Ireland

Gaia Rubera

Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

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