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Federal Reserve Communications Sentiment’s Impact on Target Rate Discovery

Seminar: Federal Reserve Communications Sentiment’s Impact on Target Rate Discovery - Juan Carlos Arismendi Zambrano (Maynooth University)

Venue: G316, Newman Building, UCD

14:00-15:00 Wednesday, February 12

Abstract: We construct a communication risk profile of the US Federal Reserve Chairmen by measuring their communications' sentiment that is built by a text categorization method that projects text into a dictionary of words with associated sentiment (movie critics, tweets opinions) by using, a  naive Bayes classifier (Pang et. al. 2002). Communication's sentiment impact into the volatility of interest rates is analysed. Results show that there is a significant difference in the communications' sentiment that plays a role in diminishing the volatility of Federal Reserve announcements.

Speaker: Dr. Juan Arismendi Zambrano is a Lecturer (Assistant Professor) of the Maynooth University, National University of Ireland. He holds an affiliation as a Visiting Research Fellow of the ICMA Centre, University of Reading. In the past,  he had positions as Assistant Professor and Head of the Economics, Accountancy, and Finance Department at the Business School of the University of Monterrey (UDEM), Senior Visiting Professor of the Technological Institute of Monterrey (ITESM) - Leon Campus, Assistant Professor of the Economics Department at the Federal University of Bahia (UFBA), Brazil. He served as Research Fellow of the University of Brasilia (UnB) under the supervision of Prof. Herbert Kimura.