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Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials

Author

Listed:
  • Linas Jurksas

    (Bank of Lithuania)

  • Vitalijus Klincevicius

    (Strata)

Abstract
The aim of this paper is to assess how relevant is the topic of sovereign bond valuations in official ECB Executive Board member speeches and, in particular, under what circumstances do ECB officials begin communicating the driving factors of sovereign bond pricing. For this purpose, we downloaded over 2000 public ECB Executive Board member speeches and applied various text mining techniques. The visual analysis revealed that the importance of the topic of sovereign bond pricing and related risk factors in ECB officials’ speeches has greatly fluctuated over time. The main structural break points were linked to the financial market turbulences, but this topic, possibly due to the introduction of sovereign bond purchases, remained relatively popular even after stress episodes. The linkages between the publicly communicated terms of sovereign bond pricing and related risk factors were rather complex and change in respect to the market situation. Meanwhile, the sentiment balance of the credit risk factor was usually on the negative side, while the ones of other terms were much more neutral.

Suggested Citation

  • Linas Jurksas & Vitalijus Klincevicius, 2020. "Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials," Bank of Lithuania Discussion Paper Series 20, Bank of Lithuania.
    • Handle: RePEc:lie:dpaper:20
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    ECB Executive Board; speeches; sovereign bonds; risk factors; correspondence analysis; sentiment analysis;
    All these keywords.

    JEL classification:

    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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