Publications

Talking Fragmentation Away – Decoding the ’Whatever it Takes’ Effect (2024)
Martin Baumgärtner, Johannes Zahner
Keywords: Natural Language Processing, Embedding, Central Bank Communication, Transfer Learning, Fragmentation, Financial stability
In: Economics Letters

What’s that Noise? Analysing Sentiment-based Variation in Central Bank Communication (2023)
Bernd Hayo, Johannes Zahner
Keywords: Sentiment index, monetary policy, central banks, Loughran and McDonald (2011) dictionary, information content of sentiment indices
In: Economics Letters

Recent developments in monetary policy communication (2023)
Bernd Hayo, Johannes Zahner
Keywords: Smonetary policy, central bank communication, review
In: Reference Module in Social Sciences.
Download here.

Complexity of ECB Communication and Financial Market Trading (2022)
Bernd Hayo, Kai Henseler, Marc S. Rapp, Johannes Zahner
Keywords: Central Bank Communication, Textual Analysis, Linguistic Complexity
In: Journal of International Money and Finance

What is on the ECB’s Mind? Monetary Policy before and after the Global Financial Crisis (2021)
Jonas Groß, Johannes Zahner
Keywords: ECB, Taylor Rule, Bayesian Model Averaging, Model Uncertainty
In: Journal of Macroeconomics

Central banks sowing the seeds for a green financial sector? NGFS membership and market reactions (2024)
Lion Fischer, Marc Steffen Rapp,  Johannes Zahner
Keywords: Climate finance, green central bank policy, stock market reaction, sustainable finance
In: IMFS Working Paper Series

Whose Inflation Rates Matter Most? A DSGE Model and Machine Learning Approach to Monetary Policy in the Euro Area (2023)
Daniel Stempel, Johannes Zahner
Keywords: New Keynesian Models, Monetary Policy, European Monetary Union, Neural Networks, Transfer Learning
In: IMFS Working Paper Series

Whatever it Takes to Understand a Central Banker – Embedding their Words Using Neural Networks (2023)
Martin Baumgärtner, Johannes Zahner
Keywords: Word Embedding, Neural Network, Central Bank Communication, Natural Language Processing, Transfer Learning
In: IMFS Working Paper Series
Website for data & model: here
R&R at the Journal of International Economics

Above, but close to two percent. Evidence on the ECB’s inflation target using text mining (2020)
Johannes Zahner
Keywords: ECB, Taylor Rule, Bayesian Model Averaging, Model Uncertainty
In: MAGKS Joint Discussion Paper Series in Economics