Does Monetary Policy Matter? – Identification and Empirical Analysis of the Hungarian Monetary Shocks via Text Analysis

Absztrakt (kivonat)

The objective of the study is to provide a systematic approach for accurate evaluation of sentiment expressed in monetary publications using several methodologies, including state-of-the-art machine learning algorithms. With these measures monetary shocks can be analyzed with a continuous shock variable, assuming the sentiment scores identify shocks. This novel approach is then contrasted with a classical shock identification approach based on foreign exchange rate jumps. The impact of monetary shocks on unemployment, real GDP, and inflation is assessed using these indicators. The findings suggest considerable impacts, indicating that contractionary shocks have a detrimental impact on the economy, while Hungarian monetary policy effectively combat inflation between 2008-2023.