Publication detail

Impacts of Federal Reserve System (FED) Economic Reports on US Financial Market Using Text Mining

JANKOVÁ, Z. DOSKOČIL, R.

Original Title

Impacts of Federal Reserve System (FED) Economic Reports on US Financial Market Using Text Mining

Type

article in a collection out of WoS and Scopus

Language

English

Original Abstract

Today, computer technology is becoming an effective means of disseminating various types of information. It brings news and issues to reach a wide range of audiences, including investors. The requirement for market information and the forecast offinancial assets is crucial for investment decisions. This study first examines the relationships between monetary policy reports and the stock index prices. The aim of the paper is to perform text mining of published Federal Reserve System (FED) reports and from these reports to deter-mine the sentiment communicated by the central bank and to identify the impact on stock markets. The motivation for conducting the study is the assumption that, for example, the Fed's communicated policy regarding raising interest rates or other similar macroeconomic events may have a significant impact on the purchase or sale of financial assets by investors. The paper is exceptional in that it links the interdisciplinary nature, which at the core includes both behavioral economic topics obtained from published central bank reports and the Sup-port Vector Machine method, which is used to determine sentiment and mood scores com-municated by the central bank of USA. The results of the study show that if higher stock market's higher fear of the VIX index persist, there is a weak ability to predict the direction of US stock indices, despite the optimistic tone in the Fed's economic growth statement.

Keywords

central bank; data mining; FED; financial market; sentiment; text mining

Authors

JANKOVÁ, Z.; DOSKOČIL, R.

Released

14. 12. 2020

Publisher

University of South Bohemia in České Budějovice, Faculty of Economics

Location

České Budějovice, Czech republic

ISBN

978-80-7394-824-5

Book

Proceedings of the 14th International Scientific Conference INPROFORUMBusiness Cycles –more than Economic Phenomena

Edition

14

Edition number

1

Pages from

39

Pages to

46

Pages count

8

BibTex

@inproceedings{BUT167261,
  author="Zuzana {Janková} and Radek {Doskočil}",
  title="Impacts of Federal Reserve System (FED) Economic Reports on US Financial Market Using Text Mining",
  booktitle="Proceedings of the 14th International Scientific Conference INPROFORUMBusiness Cycles –more than Economic Phenomena",
  year="2020",
  series="14",
  number="1",
  pages="39--46",
  publisher="University of South Bohemia in České Budějovice, Faculty of Economics",
  address="České Budějovice, Czech republic",
  isbn="978-80-7394-824-5"
}