美联储-通过金融媒体的视角衡量联邦公开市场委员会通信的情绪（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Gauging the Sentiment of Federal Open Market CommitteeCommunications through the Eyes of the Financial PressShantanu Banerjee, Paul Cordova, Michiel De Pooter, and Olesya V.Grishchenko2025-048Please cite this paper as:Banerjee, Shantanu, Paul Cordova, Michiel De Pooter, and Olesya V. Grishchenko(2025).“Gauging the Sentiment of Federal Open Market Committee Communica-tions through the Eyes of the Financial Press,” Finance and Economics DiscussionSeries 2025-048.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2025.048.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Gauging the Sentiment of Federal Open Market CommitteeCommunications through the Eyes of the Financial Press∗Shantanu BanerjeePaul CordovaMichiel De PooterOlesya V. GrishchenkoJuly 3, 2025AbstractWe apply natural language processing tools to news articles in the financial press toconstruct a sentiment index — an index of the perceived semantic orientation of monetarypolicy communications around scheduled Federal Open Market Committee (FOMC) meet-ings.To that end, we develop several dictionaries that capture various monetary policytools: conventional monetary policy, asset purchases, and forward guidance. The surprisesin the sentiment index around FOMC meetings announcements explain variation in majorasset prices classes between May 1999 and November 2022. Sentiment index surprises areimportant for explaining the variation in asset prices beyond monetary policy surprises.JEL Classification: E00, E40, E58, G12Keywords: Textual analysis, semantic orientation, sentiment index, Federal Reserve, FOMC,hawkish, dovish, asset prices, policy expectations, conventional monetary policy, asset pur-chases, forward guidance, zero-lower-bound, COVID.∗The views expressed in this paper are solely those of the authors and should not be interpreted as reflectingthe views of the Board of Governors of the Federal Reserve System or of any other employee of the Federal Re-serve System. Michiel De Pooter’s contribution to the paper was completed prior to the author joining Amazon.This publication and its contents are not related to Amazon and do not reflect the position of the company andits subsidiaries. We thank Stephen Brown, Mengqiao Du, Michael Erhmann, Stefan Greppmair, Klodiana Istrefi,Andreas Joseph, Don Kim, Ellen Meade, Brad Strum, Alexander Wagner, and Min Wei for helpful comments aswell as