货币政策文件分析用于预测货币政策委员会的决策
1Department of Data Science, Sejong University, Republic of Korea.
Heliyon
|October 25, 2023
概括
本研究使用文本分析预测韩国货币政策委员会基准利率投票. 支持向量机器比基线模型提高了29.5%的预测准确度.
科学领域:
- 金融经济学 金融经济学
- 计算语言学计算语言学
- 数据挖掘是一种数据挖掘.
背景情况:
- 债券市场比股票市场更大,受宏观经济指标的影响.
- 关于债券市场预测的研究有限,这为数据挖掘提供了机会.
- 宏观经济指标显著影响债券市场,需要先进的分析方法.
研究的目的:
- 提出一种新的数据挖掘方法,用于预测韩国货币政策委员会 (KMPC) 的基准利率决定.
- 为预测情绪,利用先前货币政策声明的文本分析.
- 为了提高预测KMPC投票结果的准确性.
主要方法:
- 利用以前的货币政策决策文本作为分类模型的输入来预测句子情绪.
- 采用支持矢量机 (SVM) 来进行情绪分类,达到83.7%的准确性.
- 从文件中提取大图来识别关键经济指标,并通过汇总句子情绪来计算文档情绪.
主要成果:
- 在预测句子情绪方面,SVM模型显示了83.7%的性能.
- 提取的bigrams提供了对韩国经济的重要见解.
- 预测KMPC投票结果使用汇总的文档情绪与SVM比基线提高了29.5%的表现.
- 统计测试证实了KMPC一致和非一致决定 (p <0.05) 之间的文件情绪有显著差异.
结论:
- 对货币政策文件的文本情绪分析可以有效预测基准利率决策.
- 拟议的数据挖掘方法显著提高了KMPC投票的预测准确性.
- 文件情绪分析显示,在一致与非一致的KMPC决策期间,沟通的显著差异.
相关概念视频
01:09Decision Making: P-value Method
5.4K
The process of hypothesis testing based on the P-value method includes calculating the P- value using the sample data and interpreting it.
First, a specific claim about the population parameter is proposed. The claim is based on the research question and is stated in a simple form. Further, an opposing statement to the claim is also stated. These statements can act as null and alternative hypotheses: a null hypothesis would be a neutral statement while the alternative hypothesis can...
First, a specific claim about the population parameter is proposed. The claim is based on the research question and is stated in a simple form. Further, an opposing statement to the claim is also stated. These statements can act as null and alternative hypotheses: a null hypothesis would be a neutral statement while the alternative hypothesis can...
5.4K
01:14Decision Making: Traditional Method
4.0K
The process of hypothesis testing based on the traditional method includes calculating the critical value, testing the value of the test statistic using the sample data, and interpreting these values.
First, a specific claim about the population parameter is decided based on the research question and is stated in a simple form. Further, an opposing statement to this claim is also stated. These statements can act as null and alternative hypotheses, out of which a null hypothesis would be a...
First, a specific claim about the population parameter is decided based on the research question and is stated in a simple form. Further, an opposing statement to this claim is also stated. These statements can act as null and alternative hypotheses, out of which a null hypothesis would be a...
4.0K
01:20Decision Making
119
Decision-making is a fundamental cognitive process that involves evaluating alternatives and selecting among them. This process can range from simple choices, such as deciding what to wear, to complex decisions, like choosing a major in college or a career path. The complexity of the decision often dictates the approach we use, which can be broadly categorized into two types: automatic and controlled decision-making.
Automatic decision-making is fast, intuitive, and relies on gut feelings...
Automatic decision-making is fast, intuitive, and relies on gut feelings...
119
03:26Framing Effects
7.4K
Information is everywhere and its presentation—such as how and when items are presented—can impact our perceptions and decisions surrounding the info. This broad concept umbrellas framing effects—influences that occur due to the way information is framed in its appearance, whether it’s purely the order or the specific wording of a message. Let’s take a look at numerous ways in which two versions of something can objectively say the same thing, yet we respond in...
7.4K
01:23Methods of Documentation V: CBE
908
Charting by Exception, or CBE, is a method of documentation used in healthcare, particularly in nursing, that focuses on documenting only significant or abnormal findings rather than recording every detail. This approach aims to streamline the documentation process, improve efficiency, and ensure that healthcare providers can quickly identify deviations from normalcy in patient assessments.
In CBE, healthcare professionals establish predefined standards of practice that define what constitutes...
In CBE, healthcare professionals establish predefined standards of practice that define what constitutes...
908
01:12Quantitative Analysis
311
Quantitative analysis is a technique for measuring the amount of specific constituents in a sample. When the sample's composition is unknown, qualitative analysis is performed first to identify its components, which ensures that the correct substances are measured during the quantitative phase.
In quantitative analysis, two key measurements are made: the sample quantity and a property proportional to the amount of the analyte (the substance being analyzed). This forms the basis of the...
In quantitative analysis, two key measurements are made: the sample quantity and a property proportional to the amount of the analyte (the substance being analyzed). This forms the basis of the...
311