Computational Analysis of CBRT’s Policy Statements and Quantifying the Effects on Financial Markets

Abstract

Central Bank's announcements are an important information-gathering tool of financial markets. Announcements are generally published as a text, which in turn is as a data source whose analytical potential has not been fully tapped. Studies have shown that texts can be analyzed as quantitative data and explored as positive or negative polarity and digitalized accordingly as well as gives an overview of opinion determining the attitude (i.e., sense, emotion, opinion). With text mining techniques, extracting the quantitative meanings from the texts is possible. Besides the content of the message being significant, it is also essential that the message is given by whom. Many announcements published as the "collegial" view of the related committee members by central banks. An important question that needs an answer is which author or author group writes what information. This paper seeks to investigate effects of the central bank announcements on the financial market by determining which an author/author group announces the central bank statements and identifying the attitudes of the author/author group. As a result of this measurement, the attitude and tone of the authors/ author groups and the relation of these attitudes and tones to the financial markets will be examined.