We would like to invite all enthusiasts and finance researchers to the October 2023 Kozminski University Finance Research Seminar: "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era" (co-authored with Pierre L. Siklos).
When? Thursday, 26 October 2023, 5:15 PM (CET)
Where? A/140 on the Kozminski University campus (Building A, Jagiellońska 57) or online - Microsoft Teams (MS Teams link will be sent following registration below)
Speaker: Dimitrios Kanelis
ABSTRACT:
We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the yield curve. However, their impact varies in size and sign: positive signals raise German and French yields, while Italian yields react negatively, which is reflected in an increase in yield spreads. A by-product of our study is the construction and provision of a synchronized data set for voice and language.
BIO:
Dimitrios Kanelis is PhD Student and lecturer in economics at the Chair of Monetary Economics at the University of Münster, Germany, and formerly visiting researcher at the Balsillie School of International Affairs, in Waterloo, Canada. Prior to joining the University of Münster, he studied Economics at the University of Bonn and worked as student assistant at the Macrofinance Lab Bonn. He holds a master degree in Economics from the University of Bonn. He works in the fields of macroeconomics, finance and applied econometrics. In his current research, he uses and combines machine and deep learning methods with modern econometrics to understand the behavior and communication of monetary policy by central banks and to measure the effect of communication on asset prices. While being PhD Student, he published in the Journal of International Money and Finance and has visited several conferences to present his research.