spb/phd_thesis Public

1@article{baker2016,2    title={Measuring Economic Policy Uncertainty},3    author={Baker, Scott R. and Bloom, Nicholas and Davis, Steven J.},4    journal={Quarterly Journal of Economics},5    volume={131},6    number={4},7    pages={1593--1636},8    year={2016},9    publisher={Oxford University Press}10}11@article{brusa2019,12    title={FOMC Announcements and Market Returns: Evidence from the Options Market},13    author={Brusa, Francesca and Savor, Pavel and Wilson, Mungo},14    journal={Journal of Finance},15    volume={75},16    number={1},17    pages={399--441},18    year={2019},19    publisher={Wiley Online Library}20}21@article{brusa2015,22    title={Asset Allocation and FOMC Announcements},23    author={Brusa, Francesca and Savor, Pavel and Wilson, Mungo},24    journal={Review of Financial Studies},25    volume={28},26    number={5},27    pages={1398--1446},28    year={2015},29    publisher={Oxford University Press}30}31@article{eklund2024,32    title={FOMC Statement Sentiment and Inflation Expectations},33    author={Eklund, Johan and Kim, Soyoung},34    journal={Journal of Monetary Economics},35    volume={141},36    pages={45--62},37    year={2024},38    publisher={Elsevier}39}40@article{kuttner2001,41    title={Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market},42    author={Kuttner, Kenneth N},43    journal={Journal of Monetary Economics},44    volume={47},45    number={3},46    pages={523--544},47    year={2001},48    publisher={Elsevier}49}50@article{bernanke2005,51    title={What Explains the Stock Market's Reaction to Federal Reserve Policy?},52    author={Bernanke, Ben S and Kuttner, Kenneth N},53    journal={Journal of Finance},54    volume={60},55    number={3},56    pages={1221--1257},57    year={2005},58    publisher={Wiley Online Library}59}60@article{gurtler2010,61    title={The Effect of FOMC Statement Language on Financial Markets},62    author={Gürtler, Marc and Gürtler, Oliver},63    journal={Journal of Financial Research},64    volume={33},65    number={4},66    pages={369--391},67    year={2010},68    publisher={Wiley Online Library}69}70@article{ehrmann2011,71    title={Global Crises and Equity Market Contagion},72    author={Ehrmann, Michael and Fratzscher, Marcel and Rigobon, Roberto},73    journal={Journal of Finance},74    volume={66},75    number={6},76    pages={2597--2649},77    year={2011},78    publisher={Wiley Online Library}79}80@article{wongswan2009,81    title={The Response of Global Equity Indexes to U.S. Monetary Policy Announcements},82    author={Wongswan, Jon},83    journal={Journal of International Money and Finance},84    volume={28},85    number={2},86    pages={344--365},87    year={2009},88    publisher={Elsevier}89}90@article{lucca2012,91    title={The Pre-FOMC Announcement Drift},92    author={Lucca, David O and Moench, Emanuel},93    journal={Journal of Finance},94    volume={70},95    number={1},96    pages={329--371},97    year={2015},98    publisher={Wiley Online Library}99}100@article{hu2019,101    title={Noise as Information for Illiquidity},102    author={Hu, Grace Xing and Pan, Jun and Wang, Jiang},103    journal={Journal of Finance},104    volume={68},105    number={6},106    pages={2341--2382},107    year={2013},108    publisher={Wiley Online Library}109}110@article{savor2014,111    title={Asset Pricing: A Tale of Two Days},112    author={Savor, Pavel and Wilson, Mungo},113    journal={Journal of Financial Economics},114    volume={113},115    number={2},116    pages={171--201},117    year={2014},118    publisher={Elsevier}119}120@article{andersen2007,121    title={Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets},122    author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},123    journal={Journal of International Economics},124    volume={73},125    number={2},126    pages={251--277},127    year={2007},128    publisher={Elsevier}129}130@article{rosa2013,131    title={The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements},132    author={Rosa, Carlo},133    journal={Journal of Banking \& Finance},134    volume={37},135    number={6},136    pages={2162--2174},137    year={2013},138    publisher={Elsevier}139}140@article{balduzzi2001,141    title={Economic News and Bond Prices: Evidence from the US Treasury Market},142    author={Balduzzi, Pierluigi and Elton, Edwin J and Green, T Clifton},143    journal={Journal of Financial and Quantitative Analysis},144    volume={36},145    number={4},146    pages={523--543},147    year={2001},148    publisher={Cambridge University Press}149}150@article{loughran2011,151    title={When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks},152    author={Loughran, Tim and McDonald, Bill},153    journal={Journal of Finance},154    volume={66},155    number={1},156    pages={35--65},157    year={2011},158    publisher={Wiley Online Library}159}160@article{gentzkow2019,161    title={Text as Data},162    author={Gentzkow, Matthew and Kelly, Bryan and Taddy, Matt},163    journal={Journal of Economic Literature},164    volume={57},165    number={3},166    pages={535--574},167    year={2019},168    publisher={American Economic Association}169}170@inproceedings{kenton2019,171    title={BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding},172    author={Devlin, Jacob and Chang, Ming-Wei and Lee, Kenton and Toutanova, Kristina},173    booktitle={Proceedings of the 2019 Conference of the North American Chapter of the Association for Computational Linguistics},174    pages={4171--4186},175    year={2019}176}177@article{araci2019,178    title={FinBERT: Financial Sentiment Analysis with Pre-trained Language Models},179    author={Araci, Dogu},180    journal={arXiv preprint arXiv:1908.10063},181    year={2019}182}183@article{bligh2008,184    title={The Decline of Symbolic Politics: Federal Reserve Communications},185    author={Bligh, Michelle C and Hess, Gregory D},186    journal={Journal of Economic Psychology},187    volume={29},188    number={4},189    pages={535--559},190    year={2008},191    publisher={Elsevier}192}193@article{shapiro2019,194    title={Taking the Fed at its Word: A New Approach to Estimating Central Bank Objectives using Text Analysis},195    author={Shapiro, Adam Hale and Sudhof, Moritz and Wilson, Daniel J},196    journal={Review of Economics and Statistics},197    volume={104},198    number={4},199    pages={768--784},200    year={2022},201    publisher={MIT Press}202}203@article{campbell2012,204    title={Macroeconomic Effects of Federal Reserve Forward Guidance},205    author={Campbell, Jeffrey R and Evans, Charles L and Fisher, Jonas DM and Justiniano, Alejandro},206    journal={Brookings Papers on Economic Activity},207    volume={2012},208    number={1},209    pages={1--80},210    year={2012},211    publisher={Brookings Institution Press}212}213@article{hansen2017,214    title={Transparency and Deliberation within the FOMC: A Computational Linguistics Approach},215    author={Hansen, Stephen and McMahon, Michael and Prat, Andrea},216    journal={Quarterly Journal of Economics},217    volume={133},218    number={2},219    pages={801--870},220    year={2018},221    publisher={Oxford University Press}222}223@article{nakamura2018,224    title={High-Frequency Identification of Monetary Non-neutrality: The Information Effect},225    author={Nakamura, Emi and Steinsson, J{\'o}n},226    journal={Quarterly Journal of Economics},227    volume={133},228    number={3},229    pages={1283--1330},230    year={2018},231    publisher={Oxford University Press}232}233@article{jarocinski2020,234    title={Deconstructing Monetary Policy Surprises—The Role of Information Shocks},235    author={Jaro{\'c}inski, Marek and Kar{\'a}di, Peter},236    journal={American Economic Journal: Macroeconomics},237    volume={12},238    number={2},239    pages={1--43},240    year={2020},241    publisher={American Economic Association}242}243@article{grossman1980,244    title={On the Impossibility of Informationally Efficient Markets},245    author={Grossman, Sanford J and Stiglitz, Joseph E},246    journal={American Economic Review},247    volume={70},248    number={3},249    pages={393--408},250    year={1980},251    publisher={American Economic Association}252}253@book{veldkamp2011,254    title={Information Choice in Macroeconomics and Finance},255    author={Veldkamp, Laura L},256    year={2011},257    publisher={Princeton University Press}258}259@article{patton2013,260    title={Why Do Markets Disagree? Evidence from Variation in Opinion},261    author={Patton, Andrew J and Verardo, Michela},262    journal={Review of Financial Studies},263    volume={25},264    number={12},265    pages={3734--3773},266    year={2012},267    publisher={Oxford University Press}268}269@article{manela2017,270    title={News Implied Volatility and Disaster Concerns},271    author={Manela, Asaf and Moreira, Alan},272    journal={Journal of Financial Economics},273    volume={123},274    number={1},275    pages={137--162},276    year={2017},277    publisher={Elsevier}278}279@article{andersen2003,280    title={Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange},281    author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},282    journal={American Economic Review},283    volume={93},284    number={1},285    pages={38--62},286    year={2003},287    publisher={American Economic Association}288}289  @article{benjamini1995controlling,290    title={Controlling the false discovery rate: a practical and powerful approach to multiple testing},291    author={Benjamini, Yoav and Hochberg, Yosef},292    journal={Journal of the Royal Statistical Society: Series B (Methodological)},293    volume={57},294    number={1},295    pages={289--300},296    year={1995},297    publisher={Wiley Online Library}298  }299@article{gurkaynak2005,300  title={Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements},301  author={G{\"u}rkaynak, Refet S and Sack, Brian P and Swanson, Eric T},302  journal={International Journal of Central Banking},303  volume={1},304  number={1},305  pages={55--93},306  year={2005}307}308@article{swanson2014,309  title={Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates},310  author={Swanson, Eric T and Williams, John C},311  journal={American Economic Review},312  volume={104},313  number={10},314  pages={3154--3185},315  year={2014},316  publisher={American Economic Association}317}318@article{gorodnichenko2023,319  title={The Voice of Monetary Policy},320  author={Gorodnichenko, Yuriy and Pham, Tho and Talavera, Oleksandr},321  journal={American Economic Review},322  volume={113},323  number={2},324  pages={548--584},325  year={2023},326  publisher={American Economic Association}327}328@article{schmeling2019,329  title={Does Central Bank Tone Move Asset Prices?},330  author={Schmeling, Maik and Wagner, Christian},331  journal={Review of Finance},332  volume={23},333  number={5},334  pages={933--972},335  year={2019},336  publisher={Oxford University Press}337}338@article{hayo2010,339  title={Do Federal Reserve Communications Help Predict Federal Funds Target Rate Decisions?},340  author={Hayo, Bernd and Neuenkirch, Matthias},341  journal={Journal of Macroeconomics},342  volume={32},343  number={4},344  pages={1014--1024},345  year={2010},346  publisher={Elsevier}347}348@techreport{apel2012,349  title={The Information Content of Central Bank Minutes},350  author={Apel, Mikael and Grimaldi, Marianna Blix},351  institution={Sveriges Riksbank},352  type={Working Paper Series},353  number={261},354  year={2012}355}356@article{fleming1999,357  title={Price Formation and Liquidity in the US Treasury Market: The Response to Public Information},358  author={Fleming, Michael J and Remolona, Eli M},359  journal={Journal of Finance},360  volume={54},361  number={5},362  pages={1901--1915},363  year={1999},364  publisher={Wiley Online Library}365}366@article{blinder2008,367  title={Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence},368  author={Blinder, Alan S and Ehrmann, Michael and Fratzscher, Marcel and De Haan, Jakob and Jansen, David-Jan},369  journal={Journal of Economic Literature},370  volume={46},371  number={4},372  pages={910--945},373  year={2008},374  publisher={American Economic Association}375}376@article{barndorff2002,377  title={Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models},378  author={Barndorff-Nielsen, Ole E and Shephard, Neil},379  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},380  volume={64},381  number={2},382  pages={253--280},383  year={2002},384  publisher={Wiley Online Library}385}386@article{fama1970,387  title={Efficient Capital Markets: A Review of Theory and Empirical Work},388  author={Fama, Eugene F},389  journal={Journal of Finance},390  volume={25},391  number={2},392  pages={383--417},393  year={1970},394  publisher={Wiley Online Library}395}396@article{muth1961,397  title={Rational Expectations and the Theory of Price Movements},398  author={Muth, John F},399  journal={Econometrica},400  volume={29},401  number={3},402  pages={315--335},403  year={1961},404  publisher={JSTOR}405}406@inproceedings{wang2021tsdae,407  title={TSDAE: Using Transformer-based Sequential Denoising Auto-Encoder for Unsupervised Sentence Embedding Learning},408  author={Wang, Kexin and Reimers, Nils and Gurevych, Iryna},409  booktitle={Findings of the Association for Computational Linguistics: EMNLP 2021},410  pages={671--688},411  year={2021}412}413@article{andersen1997,414  title={Intraday Periodicity and Volatility Persistence in Financial Markets},415  author={Andersen, Torben G. and Bollerslev, Tim},416  journal={Journal of Empirical Finance},417  volume={4},418  number={2--3},419  pages={115--158},420  year={1997}421}422@article{jorda2005,423  title={Estimation and Inference of Impulse Responses by Local Projections},424  author={Jord{\`a}, {\`O}scar},425  journal={American Economic Review},426  volume={95},427  number={1},428  pages={161--182},429  year={2005}430}