- Ahmad, M. (2023). Why akaike information criterion (aic) is a better tool than acf and pacf for identifying lags in time series analysis? Andersen, J. C. and Thorshaug, M. G. (2023). Central bank sentiment analysis and asset prices: Using machine learning and natural language processing to conduct sentiment analysis for predicting stock prices in a norwegian financial context. Master’s thesis.
Paper not yet in RePEc: Add citation now
Angeletos, G.-M., Collard, F., and Dellas, H. (2018). Quantifying confidence. Econometrica, 86(5):1689–1726.
Apel, M. and Grimaldi, M. B. (2014). How informative are central bank minutes? Review of Economics, 65(1):53–76.
Benhabib, J., Wang, P., and Wen, Y. (2015). Sentiments and aggregate demand fluctuations. Econometrica, 83(2):549–585.
Bennani, H. (2019). Does people’s bank of china communication matter? evidence from stock market reaction. Emerging Markets Review, 40:100617.
Bernanke, B. S. and Kuttner, K. N. (2005). What explains the stock market’s reaction to federal reserve policy? The Journal of finance, 60(3):1221–1257.
Blinder, A. S., Ehrmann, M., Fratzscher, M., De Haan, J., and Jansen, D.-J. (2008). Central bank communication and monetary policy: A survey of theory and evidence. Journal of economic literature, 46(4):910–945.
Bohl, M. T., Kanelis, D., and Siklos, P. L. (2023). Central bank mandates: How differences can influence the content and tone of central bank communication. Journal of International Money and Finance, 130:102752.
Born, B., Ehrmann, M., and Fratzscher, M. (2014). Central bank communication on financial stability. The Economic Journal, 124(577):701–734.
- Cambria, E., Das, D., Bandyopadhyay, S., and Feraco, A. (2017). Affective computing and sentiment analysis. A practical guide to sentiment analysis, pages 1–10.
Paper not yet in RePEc: Add citation now
Choudhary, M. A., Pasha, F., and Waheed, M. (2020). Measuring economic policy uncertainty in pakistan.
- De Haan, J. (2008). The effect of ecb communication on interest rates: An assessment. The Review of International Organizations, 3:375–398.
Paper not yet in RePEc: Add citation now
- Du, X., Cheng, J., Zhu, D., and Xing, M. (2023). Does central bank communication on financial stability work?——an empirical study based on chinese stock market. International Review of Economics & Finance, 85:390–407.
Paper not yet in RePEc: Add citation now
Ehrmann, M. and Fratzscher, M. (2007). Explaining monetary policy in press conferences.
Gertler, P. and Horvath, R. (2018). Central bank communication and financial markets: New high-frequency evidence. Journal of Financial Stability, 36:336–345.
Gürkaynak, R. S., Sack, B., and Swanson, E. (2005). The sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models. American economic review, 95(1):425–436.
Gurun, U. G. and Butler, A. W. (2012). Don’t believe the hype: Local media slant, local advertising, and firm value. The Journal of Finance, 67(2):561–598.
Hansen, S. and McMahon, M. (2016). Shocking language: Understanding the macroeconomic effects of central bank communication. Journal of International Economics, 99:S114–S133.
Hillert, A., Jacobs, H., and Müller, S. (2014). Media makes momentum. The Review of Financial Studies, 27(12):3467–3501.
Hubert, P. and Fabien, L. (2017). Central bank sentiment and policy expectations.
Istrefi, K., Odendahl, F., and Sestieri, G. (2023). Fed communication on financial stability concerns and monetary policy decisions: Revelations from speeches. Journal of Banking & Finance, 151:106820.
- Jmaii, A. (2011). What is ardl models. Inf@Scipedia, 8(1):1–22.
Paper not yet in RePEc: Add citation now
Loughran, T. and McDonald, B. (2011). When is a liability not a liability? textual analysis, dictionaries, and 10-ks. The Journal of finance, 66(1):35–65.
McMahon, M., Schipke, M. A., and Li, X. (2018). China’s monetary policy communication: Frameworks, impact, and recommendations. International Monetary Fund.
- Moniz, A. and de Jong, F. (2014). Predicting the impact of central bank communications on financial market investors’ interest rate expectations. In The Semantic Web: ESWC 2014 Satellite Events: ESWC 2014 Satellite Events, Anissaras, Crete, Greece, May 25-29, 2014, Revised Selected Papers 11, pages 144–155. Springer.
Paper not yet in RePEc: Add citation now
Petropoulos, A. and Siakoulis, V. (2021). Can central bank speeches predict financial market turbulence? evidence from an adaptive nlp sentiment index analysis using xgboost machine learning technique. Central Bank Review, 21(4):141–153.
Reeves, R. and Sawicki, M. (2007). Do financial markets react to bank of england communication? European Journal of Political Economy, 23(1):207–227.
Ruman, A. M. (2023). A comparative textual study of fomc transcripts through inflation peaks. Journal of International Financial Markets, Institutions and Money, 87:101822.
- Saad, S. A., Maria, S., and Qazi, A. (2019). Understanding monetary policy communication: An vecm approach based on pakistan.
Paper not yet in RePEc: Add citation now
Schmeling, M. and Wagner, C. (2019). Does central bank tone move asset prices? Shahbaz, M., Ahmed, N., and Ali, L. (2008). Stock market development and economic growth: Ardl causality in pakistan. International Research Journal of Finance and Economics, 14(1):182–195.
- Sohail, A. S., Sameen, M., and Ahmed, Q. (2019). Understanding monetary policy communication: A vecm approach based on pakistan. In 2019 International Conference on Green and Human Information Technology (ICGHIT), pages 133–138. IEEE.
Paper not yet in RePEc: Add citation now
- Tauseef, S. and Dupuy, P. (2022). Pakistan: a study of market’s returns and anomalies. Journal of Economics, Finance and Administrative Science, 27(54):344–363.
Paper not yet in RePEc: Add citation now
Wang, X., Zhao, Y., Wang, Q., Yixing, H., and George, G. (2023). Does the centrual economic work conference (cewc) affect the stock market? Journal of Capital Markets Studies, (ahead-of-print).
Xiong, W. (2012). Measuring the monetary policy stance of the people’s bank of china: An ordered probit analysis. China Economic Review, 23(3):512–533.
- Zaheer, S., Khaliq, F., and Ahmed, W. (2019). Effectiveness of sbp’s monetary policy communication. STATE BANK OF PAKISTAN, page 1.
Paper not yet in RePEc: Add citation now