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.
"I study whether emotional language in UK economic news is related to the market price of risk. I combine 9.86 million newspaper articles with FTSE 100 returns from 2003 to 2022, construct dictionary and LLM emotion measures, and instrument economic-news emotions with the same emotions in non-economic and sports news. A one-standard-deviation increase in dictionary-based anger increases price of risk by 33.4 per cent of its mean under non-economic instruments and by 24.2 per cent under sports instruments. Dictionary-based fear has the opposite sign, while LLM-based fear is positive or imprecise. Lagged, lower-frequency, and market-based checks point to a narrower conclusion: anger in economic news tracks measured risk appetite, but the mapping depends on measurement and proxy choice."
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)