巴基斯坦国家银行货币政策文件的情绪分析及其对股市的影响

Aabid Karim, Heman Das Lohano
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摘要

本研究探讨了巴基斯坦国家银行(SBP)通信中所传达的情绪是否会影响金融市场预期,以及能否作为一种货币政策工具发挥作用。为了实现我们的目标,我们首先使用情绪分析技术来量化巴基斯坦国家银行货币政策文件的基调;其次,我们使用短时间窗口、高频率方法来近似分析基调对股市回报的影响。我们的研究结果表明,基调的积极(消极)变化会对卡拉奇证券交易所的股票回报率产生积极(消极)影响。进一步的扩展表明,在控制不同变量和货币政策工具的情况下,印度央行的沟通仍然对股票回报率有显著的统计影响。此外,印度央行的沟通对股票市场也没有长期不变的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Sentiment Analysis of State Bank of Pakistan's Monetary Policy Documents and its Impact on Stock Market
This research examines whether sentiments conveyed in the State Bank of Pakistan's (SBP) communications impact financial market expectations and can act as a monetary policy tool. To achieve our goal, we first use sentiment analysis techniques to quantify the tone of SBP monetary policy documents and second, we use short time window, high frequency methodology to approximate the impact of tone on stock market returns. Our results show that positive (negative) change in the tone positively (negatively) impacts stock returns in Karachi Stock Exchange. Further extension shows that the communication of SBP still has a statistically significant impact on stock returns when controlling for different variables and monetary policy tool. Also, the communication of SBP does not have a long term constant effect on stock market.
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