Inflation Expectations, Sovereign Bond Yields and Media Sentiment on the ECB in Four European Countries
Wiem Ghazouani  1, *@  , Matthieu Picault  1, *@  
1 : Laboratoire d'Economie d'Orléans
Université d'Orléans, Université d'Orléans : EA7322
* : Corresponding author

With 20 countries and 24 languages, the Euro Area presents a unique communication challenge to the European Central Bank especially when countries' inflation diverge. Using a unique dataset of more than 200 000 press articles from 28 journals in 4 countries between 2020 and 2023, we study how the media coverage of the ECB monetary policy varies across the Euro Area by studying both the volume of articles published and the content of the articles. To analyze the sentiment conveyed by the different articles in a multi-language corpus, we rely on both lexicon approach and deep learning Natural Language Processing models to improve the comparability of our quantitative measures. Using the newly released data from the Consumer Expectation Survey, we discuss how the information content of press articles on monetary policy can influence both households inflation expectations and the dynamic and sovereign bonds yields. Using a panel dataset with country specific inflation expectations from both professional and households, macroeconomic control variables and fixed effects, we show that the tonality of the media can significantly influence households inflation expectations between 2020 and 2023.


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