TITLE:
Assessing ECB Officials’ Emphasis on Sovereign Bond Valuations
AUTHORS:
Linas Jurkšas, Vitalijus Klincevičius
KEYWORDS:
ECB Executive Board, Speeches, Sovereign Bonds, Risk Factors, Correspondence Analysis, Sentiment Analysis
JOURNAL NAME:
Theoretical Economics Letters,
Vol.14 No.2,
April
24,
2024
ABSTRACT: The aim of this paper is to assess how relevant is the topic of sovereign bond valuations in official ECB Executive Board member speeches and what are the driving factors behind this topic. For this purpose, we downloaded over 2000 public ECB Executive Board member speeches and applied different text mining techniques. The visual analysis revealed that the importance of the topic of sovereign bond pricing and related risk factors in ECB officials’ speeches has greatly fluctuated over time. The main structural break points were correlated with the financial market turbulences, but this topic remained relatively popular even after stress episodes, possibly due to the introduction of sovereign bond purchases. The linkages between the publicly communicated terms of sovereign bond pricing and related risk factors were rather complex and changed together with the market situation. Meanwhile, the sentiment balance of the credit risk factor was usually on the negative side, while the ones of other terms were much more neutral.