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Analyzing the Minutes of the Monetary Policy Board through Topic Modeling and Sentiment Analysis
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토픽모델링과 감성분석에 기반한 금통위 의사록 분석

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Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제21권 제2호 KCI Accredited Journals
Published
2019.1
Pages
889 - 900 (12page)

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Analyzing the Minutes of the Monetary Policy Board through Topic Modeling and Sentiment Analysis
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This study investigate the existence of additional information on the monetary policy board (MPB) minutes of the Bank of Korea (BOK) through two types of text mining techniques that have been rapidly developing, topic modeling and sentiment analysis. This study extracts a total of five topics from the whole minutes using the topic modeling analysis, and names them as the economy, the monetary policy, the financial market, the prices and the debt in consideration of the distribution of the words of each topic. The tones of these topics are included in an augmented Taylor rule as additional explanatory variables to analyze the interest rate decision of the central bank. The ordered probit model reveals that tones of the monetary policy, the prices and the debt have additional information on the current interest rate decision and that the tone of the economy has predictive power for the future interest rate decision. In particular, the fact that there is a predictive power in the future has a great significance in that it can form a right expectation for the market participants, and a investment strategy using this information will be possible.
#topic modeling #LDA #sentiment analysis #MPB minutes #interest rate.

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Blei, D. M. / 2003 / Latent Dirichlet allocation / Journal of Machine Learning Research 3(4-5):993~1022 google schola 최정균 / 2017 / 텍스트 마이닝 기법을 이용한 언론사별 보도 변화 양상 탐구 / Journal of The Korean Data Analysis Society 19(5):2509~2522 dbpia Ehrmann, M. / 2007 / Explaining monetary policy in press conferences google schola Hansen, S. / 2014 / Transparency and deliberation within the FOMC: a computational linguistics approach google schola Hodrick, R. J. / 1997 / Postwar US business cycles: an empirical investigation / Journal of Money, Credit, and Banking 29(1):1~16 google schola

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