Working Papers:
Embracing the Future: Tense patterns and Forward-looking Central Bank Communication (with Gavin Hassall).
"This paper studies how forward-looking language in the Federal Open Market Committee (FOMC) minutes affects market expectations of future interest rates. We analyse the text of the FOMC minutes from 1997 to 2023 with structural topic modelling combined with LLM-based tone and tense analysis. We estimate market reactions in an event study that exploits the fact that the release of the minutes involves no policy change, ensuring any market response reflects pure expectation revisions. We show that forward-looking information about certain topics has systematically moved private sector expectations of future interest rates. In particular, hawkish forward-looking inflation language raises 2-, 5- and 10-year Treasury yields. We interpret these findings through a model where the private sector does not observe the central bank's responsiveness to its inflation outlook, and learns about it via a signal extraction problem. We argue that communication effectiveness depends not only on what topics are discussed but on how they are temporally framed."
Work in progress:
Fear, Anger, and the Price of Risk.
"Does the emotional content of economic news help explain movements in market risk appetite? I study this question using more than eight million UK newspaper articles from 2003 to 2022 and daily FTSE 100 returns. The paper builds two complementary measures of news emotions. The first is a transparent dictionary measure based on the NRC emotion lexicon. The second uses GPT labelled articles to train ModernBERT classifiers, allowing emotion shares to be measured from article context rather than from word counts alone. I focus on fear and anger, two negative emotions that differ sharply in their appraisals of uncertainty and control, and use the full six-emotion vector as an extension. To connect text to asset prices, I recover a daily GARCH based price of risk from return moments and estimate instrumental variables specifications that use emotions in non-economic news, and more restrictively sports news, as instruments for emotions in economic news. In the full daily sample, dictionary based IV estimates associate fear with a lower price of risk and anger with a higher price of risk. The LLM measures support the positive anger result, but do not reproduce the dictionary fear result. The six-emotion specification is less precise. The evidence therefore points to a focused fear and anger contrast, rather than a stable mapping from all discrete emotions to the price of risk."
New Neighbours: The Effects of Corporate Relocation on Local Labour Market Expectations (with Christine Braun and Bernhard Schmidpeter).
Policy work:
Growing British – a strategy paper for promoting fresh produce production in the UK (Annex 1-Economic calculations for GDP and employment) (with Thijs Van Rens)