Avrupa Merkez Bankası (ECB) para politikası duyurularının kosinüs benzerliği ve duygu analizi üzerine bir inceleme

Öz

Bu çalışma, Avrupa Merkez Bankası'nın (ECB) faiz kararlarına ilişkin duyurularını kosinüs benzerliği ve duygu analizi yöntemleri ile incelemektedir. Araştırma, duyurulardaki dilsel benzerliklerin zaman içindeki tutarlılığına ve bu duyuruların duygu tonunun değişimine odaklanmaktadır. ECB’nin metinlerindeki benzerlik oranları, politika kararları ve ekonomik dalgalanmalarla ilişkilendirilerek piyasa tepkilerinin nasıl yönlendirildiğini anlamayı amaçlamaktadır. Sonuçlar, merkez bankası duyurularının içeriğinin finansal piyasalara etkisini ortaya koymakta ve doğal dil işleme (NLP) tekniklerinin merkez bankası iletişim analizlerinde önemli bir araç olabileceğini göstermektedir.

Anahtar Kelimeler

• ECB
• Kosinüs benzerliği
• Duygu analizi
• Doğal dil işleme (NLP)
• Merkez bankası iletişimi

An examination of cosine similarity and sentiment analysis in European Central Bank (ECB) monetary policy announcements

Öz

This study analyzes the European Central Bank’s (ECB) monetary policy announcements using cosine similarity and sentiment analysis methods. The research focuses on the linguistic consistency of ECB statements over time and the shifts in sentiment tone within these announcements. By correlating text similarity scores with policy decisions and economic fluctuations, the study aims to understand how ECB communications influence market responses. Findings reveal the impact of central bank announcement content on financial markets, highlighting the utility of Natural Language Processing (NLP) techniques as a valuable tool for central bank communication analysis.

Anahtar Kelimeler

• ECB
• Cosine similarity
• Sentiment analysis
• Natural language processing (NLP)
• Central bank communication

Kaynakça

1. Akbıyık, A. ve Coşkun, E. (2013). Eğitsel sosyal yazılımların kabul ve kullanımına yönelik bir model. Online Academic Journal of Information Technology. 4(13), 39-62.
2. Akça, Y. ve Özer, G. (2012). Teknoloji kabul model’inin kurumsal kaynak planlaması uygulamalarında kullanılması. Business and Economics Research Journal, 3(2), 79-96.
3. Acosta M. ve Meade E. (2015). Hanging on Every Word: Semantic Analysis of the FOMC's Postmeeting Statement. Board of Governors of the Federal Reserve System (U.S.), FEDS Notes 2015-09-30, https://www.federalreserve.gov/econresdata/notes/feds-notes/2015/semantic-analysis-of-the-FOMCs-postmeeting-statement-20150930.html, Erişim Tarihi: 25.02.2024.
4. Amaya D. ve Filbien J-Y. (2015). The Similarity of ECB’s Communication. Finance Research Letters, Volume 13.
5. Apel M. ve Grimaldi M.B. (2012). The Information Content of Central Bank Minutes. Sveriges Riksbank Working Paper Series, No. 261, https://archive.riksbank.se/Documents/Rapporter/Working_papers/2012/rap_wp261_120426.pdf, Erişim Tarihi: 25.02.2024.
6. Armelius H. ve Bertsch C. ve Hull I. ve Zhang X. (2018). Spread the Word: International Spillovers from Central Bank Communication. Sveriges Riksbank Research Paper Series, No. 357, https://www.riksbank.se/globalassets/media/rapporter/working-papers/2018/no.-357-spread-the-word-international-spillovers-from-central-bank-communication.pdf, Erişim Tarihi: 25.02.2024.
7. Bholat D. ve Hansen S. ve Santos P. ve Schonhardt-Bailey C. (2015). Text Mining for Central Banks. https://www.bankofengland.co.uk/ccbs/text-mining-for-central-banks, Erişim Tarihi: 20.02.2024.
8. Blinder A.S. ve Ehrmann M. ve Fratzscher M. ve Haan J.D. ve Jansen D.J. (2008). Central bank Communication and Monetary Policy: A Survey of Theory and Evidence. European Central Bank Working Paper Series, No. 898, https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp898.pdf, Erişim Tarihi: 25.02.2024.

9. Bushman R.M. ve Chen C.D. ve Williams C.D. (2017). Informativeness and Timeliness of Text Similarity Measures for Predicting Banks' Tail Comovement. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2983315, Erişim Tarihi: 19.02.2024.
10. Chatchawan S. (2021). Effects of Central Bank Communication on Financial Markets: A Factor-Augmented Vector Autoregressive Approach. Journal of Business Administration, Vol. 44 No. 171, http://www.jba.tbs.tu.ac.th/files/Jba171/Article/JBA171Sapphasak.pdf, Erişim Tarihi: 25.02.2024.
11. Cormier B. ve Manger M.S. (2018). The Evolution of World Bank Conditionality: A Quantitative Text Analysis. https://www.peio.me/wp-content/uploads/2020/01/PEIO13_paper_46.pdf, Erişim Tarihi: 20.02.2024.
12. Egesdal, M. ve Gill M., Rotemberg M. (2015). How Federal Reserve Discussions Respond To Increased Transparency, https://scholar.harvard.edu/files/mrotemberg/files/fed_text_oct2015.pdf, 20.02.2024.
13. Ehrmann M. ve Talmi J. (2017). Starting From A Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. ECB Working Paper, No 2023, https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2023.en.pdf, Erişim Tarihi: 25.02.2024.
14. Gonzales M. ve Tadle R.C. (2022). Monetary Policy Press Releases: An International Comparison. BIS Working Papers, No 1023, https://www.bis.org/publ/work1023.pdf, Erişim Tarihi:20.02.2024.
15. Görgün, M.F. ve Demireli, E. (2024). Merkez Bankası Para Politikası Metinleri İçin Kosinüs Benzerlik Skorları: FED Basın Duyuruları Üzerine Ampirik Bir Analiz, Uluslararası Sosyal ve Ekonomik Çalışmalar Dergisi, 5(1), 58-77, DOI: 10.62001/gsijses.1491120.
16. Guo K.H. (2022). Testing and Validating the Cosine Similarity Measure for Textual Analysis. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4258463, Erişim Tarihi: 16.04.2024.
17. Gürkaynak R.S. ve Sack B., Swanson E.T. (2005). The Response of Asset Prices to Monetary Policy Actions and Statements. International Journal of Central Banking, https://www.ijcb.org/journal/ijcb05q2a2.htm, Erişim Tarihi: 25.02.2024.
18. Hansen S. ve McMahon M. (2016). Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication. Journal of International Economics, No 99, 114-133.
19. Hansen S. & McMahon M. & Tong M. (2020). The Long-Run Information Effect of Central Bank Communication. European Central Bank Working Paper Series, No 2363, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2363~8cc75733c6.en.pdf, Erişim Tarihi: 25.02.2024.
20. Hernández-Murillo, R. ve Shell H.G. (2014). Rising Complexity of the FOMC Statement. Economic Synopses, No. 23 , https://fraser.stlouisfed.org/title/economic-synopses-6715/rising-complexity-fomc-statement-624434, Erişim Tarihi: 25.02.2024.
21. Jansen, D.J. ve J. de Haan (2010). An Assessment of the Consistency of ECB Communication using Wordscores, DNB Working Paper, No. 259, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1949682, Erişim Tarihi: 25.02.2024.
22. Jegadeesh N. ve Wu D. (2015). Deciphering Fedspeak: The Information Content of FOMC Meetings. https://www.aeaweb.org/conference/2016/retrieve.php?pdfid=21466&tk=niAkBk3N, Erişim Tarihi: 27.02.2024.
23. Koç A. ve Çelik A. (2022). Covid-19 Döneminde ABD Borsaları, Altın Fiyatları ve VIX Endeksi ile Bitcoin ve Ethereum Fiyatları Arasındaki İlişkinin Analizi. https://dergipark.org.tr/tr/download/article-file/2439896, Erişim Tarihi: 13.04.2024.
24. Loughran T. ve McDonald B. (2011). When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks. The Journal of Finance, Vol. LXVI No. 1, 35-65.
25. Loughran T. ve McDonald B. (2016). Textual Analysis in Accounting and Finance: A Survey. Journal of Accounting Research, Volume 54, Issue 4, 1187-1230.
26. Lucca D.O. ve Trebbi F. (2009). Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements. NBER Working Paper, No. 15367, https://www.nber.org/system/files/working_papers/w15367/w15367.pdf, Erişim Tarihi: 20.02.2024.
27. Masciandro D. ve Romelli D. ve Rubera G. (2022). Monetary Policy and Financial Markets: Evidence from Twitter Traffic. Bocconi University Working Paper, No. 160, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3823185, Erişim Tarihi: 20.02.2024.
28. Nan H. ve Zexi S. (2021). Uncertain Talking at Central Bank’s Press Conference: News or Noise? Hong Kong Institute for Monetary and Financial Research (HKIMR) Working Paper, No.04/2021, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3796816, Erişim Tarihi: 20.02.2025.
29. Narain N. ve Sangani K. (2023). The Market Impact of Fed Communications: The Role of the Press Conference. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4354333, Erişim Tarihi: 20.02.2024.
30. Picault M. ve Renault T. (2017). Words are Not All Created Equal: A New Measure of ECB Communication. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2980777, Erişim Tarihi: 27.02.2024.
31. Schmeling M. ve Wagner C. (2023). Does Central Bank Tone Move Asset Prices? https://ssrn.com/abstract=2629978, Erişim Tarihi: 27.02.2024.
32. Tetlock P.C. (2007). Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance, Vol. 62 No. 3.
33. Tetlock P.C. (2014). Information Transmission in Finance. The Annual Review of Financial Economics, 2014.6 , 365-384.