We co-plot our central bank sentiment index with other similar macroeconomic indicators. We choose:
A proxy measures of financial uncertainty - Country-Level Index of Financial Stress (CLIFS).
The plots reveal that the two measures perform similarly in capturing financial uncertainty.
A proxy for central bank policy - Policy Rate Change, extracted from central bank webpages.
The plots reveal that the two series are positively correlated, a dovish sentiment index is associated with policy rate cuts, and vice versa.