Alison Madeley - Latest

• Text Mining and the Information Content of Bank of Canada Communications

  Staff Working Paper 2010-31 Scott Hendry, Alison Madeley

  This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary policy implementation JEL Code(s): E, E5, E58, G, G1, G14