A central bankers’ sentiment index of global financial cycle

Yu, Zhen, Liu, Wei and Yang, Fuyu (2023) A central bankers’ sentiment index of global financial cycle. Finance Research Letters, 57. ISSN 1544-6123

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We propose a novel Central Bankers’ Sentiment Index (CBSI) to measure the global financial cycle (GFC) using text analysis on 6,514 central bankers’ speeches. We find that the CBSI outperforms the conventional measures in capturing the GFC by tracing historical events and identifying turning points. Our empirical evidence further demonstrates the comparative advantages of CBSI in reflecting the capacities of central banks to aggregate financial system information and intervene in financial market operations. Our findings provide new insights into a more accurate measurement of the GFC and also contribute to a better understanding of the impact of central bank speeches.

Item Type: Article
Additional Information: Funding Information: The authors would like to acknowledge the National Social Science Fund of China for the financial support of the study (Grant No. 20BJY022 ).
Uncontrolled Keywords: global financial cycle,sentiment,central bankers’ speeches,general economics,econometrics and finance,sdg 8 - decent work and economic growth ,/dk/atira/pure/subjectarea/asjc/2000/2000
Faculty \ School: Faculty of Social Sciences > School of Economics
UEA Research Groups: Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Related URLs:
Depositing User: LivePure Connector
Date Deposited: 30 Jun 2023 17:30
Last Modified: 11 Aug 2023 08:30
URI: https://ueaeprints.uea.ac.uk/id/eprint/92553
DOI: 10.1016/j.frl.2023.104161

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