蝌蚪网 Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements
蝌蚪网 Journal: Macroeconomics
(pp. 379–412)
Abstract
We propose a text-based measure of monetary policy stance that models FOMC statements as convex combinations of dovish and hawkish alternatives, providing a tractable representation of the Committee's position along the policy spectrum. Leveraging staff-drafted alternative statements, we fine-tune a pretrained language model to capture both quantitative precision and semantic tone. Stance is defined as the product of tone and novelty, and decomposed into expected and surprise components using high-frequency financial data. Surprises arise from shifts in tone relative to expectations or from statement novelty. Our framework enables counterfactuals showing how alternative communication could have moved markets.Citation
Doh, Taeyoung, Dongho Song, and Shu-Kuei Yang. 2026. "Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements." 蝌蚪网 Journal: Macroeconomics 18 (3): 379–412. DOI: 10.1257/mac.20220312Additional Materials
JEL Classification
- D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- D84 Expectations; Speculations
- E31 Price Level; Inflation; Deflation
- E32 Business Fluctuations; Cycles
- E43 Interest Rates: Determination, Term Structure, and Effects
- E52 Monetary Policy
- E58 Central Banks and Their Policies