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題名:美國聯準會會議紀要的文字探勘與臺灣經濟變數預測
書刊名:經濟論文叢刊
作者:黃裕烈管中閔
作者(外文):Huang, Yu-liehKuan, Chung-ming
出版日期:2019
卷期:47:3
頁次:頁363-391
主題關鍵詞:文字探勘美國聯邦公開市場委員主題模型情緒分析Federal Open Market CommitteeSentiment analysisText miningTopic models
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:6
本文利用文字探勘的技巧,從美國聯邦公開市場委員會(Federal Open Market Committee,簡稱FOMC)所發表的正式官方文件:minutes of the FOMC中萃取出重要的資訊,再利用情緒分析來判斷FOMC對三大經濟「使命」的正/負面看法,並建立指標,以預測台灣的財經相關變數。相較於之前的文獻,本文統一FOMC常用的專門術語,並且考慮了複合字的情況;這可以避免後續在計算文字字數時,產生重覆計算以及語意錯誤的情況。我們也利用統計模型(MAP-PLSA)將每一份文件中的句子依據FOMC的經濟使命分成三個主題,再利用情緒分析技巧,建立各類主題的指標數列。最後,我們以迴歸模型來分析情緒指標與台灣相關財經變數之間的關聯性。
In this paper we extract useful information from the minutes of the Federal Open Market Committee (FOMC) and examine how such information can help predict economic/financial variables. Based on the minutes during 1993-2016, we conduct sentiment analysis to determine the FOMC's attitude towards different topics, i.e., the mandates of the FED. Our approach is different from related studies in the following respects. First, we identify compound words which carry more specific meaning than do single words. Second, we adopt the topic model, MAP-PLSA, for estimating the conditional probabilities of these words/terms, which in turn can be used to classify sentences in the minutes under different topics. Third, the attitude towards each topic is determined by the "tone" of its sentences. We then proceed to evaluate whether the FOMC's attitude towards different topics can be used to improve economic forecasts.
期刊論文
1.Loughran, Tim、McDonald, Bill(2011)。When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks。The Journal of Finance,66(1),35-65。  new window
2.Loughran, Tim、McDonald, Bill(2014)。Measuring readability in financial disclosures。The Journal of Finance,69(4),1643-1671。  new window
3.Doran, James S.、Peterson, David R.、Price, S. McKay(2012)。Earnings conference call content and stock price: The case of REITs。Journal of Real Estate Finance and Economics,45(2),402-434。  new window
4.Chien, Jen-Tzung、Wu, Meng-Sung(2008)。Adaptive Bayesian Latent Semantic Analysis。IEEE Transactions on Audio, Speech, and Language Processing,16(1),198-207。  new window
5.Bernd, Hayoa、Neuenkirch, Matthias(2013)。Do Federal Reserve Presidents Communicate with a Regional Bias?。Journal of Macroeconomics,35(4),62-72。  new window
6.Berger, Helge、de Haan, Jakob、Sturm, Jan-Egbert(2011)。Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication。International Journal of Finance and Economics,16(1),16-31。  new window
7.Jubinskia, Daniel、Tomljanovich, Marc(2013)。Do FOMC Minutes Matter to Markets? An Intraday Analysis of FOMC Minutes Releases on Individual Equity Volatility and Returns。Review of Financial Economics,22(3),86-97。  new window
8.Hofmann, Thomas(1999)。Probabilistic Latent Semantic Indexing。ACM SIGIR Forum,51(2),211-218。  new window
9.Loughran, Tim、McDonald, Bill(2016)。Textual Analysis in Accounting and Finance: A Survey。Journal of Accounting Research,54(4),1187-1230。  new window
10.Sadique, Shibley、In, Francis、Veeraraghavan, Madhu、Wachtel, Paul(2013)。Soft Information and Economic Activity: Evidence from the Beige Book。Journal of Macroeconomics,37(3),81-92。  new window
11.Rosa, Carlo(2013)。The Financial Market Effect of FOMC Minutes。Economic Policy Review,19(2),67-81。  new window
12.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
13.Blei, David M.、Ng, Andrew Y.、Jordan, Michael I.(2003)。Latent Dirichlet allocation。Journal of Machine Learning Research,3(4/5),993-1022。  new window
研究報告
1.Huang, Yu-Lieh、Kuan, Chung-Ming(2017)。Prediction with FOMC Minutes: An Application of Text Mining。National Tsing Hua University。  new window
2.Lucca, David O.、Trebbi, Francesco(2009)。Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements。  new window
圖書
1.Banchs, Rafael(2012)。Text Mining with MATLAB。New York:Springer Science and Business Media。  new window
2.Murphy, Kevin P.(2012)。Machine Learning: A Probabilistic Perspective。Cambridge:MIT press。  new window
 
 
 
 
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