Federal Reserve Bank
of San Francisco Federal Reserve Bank
of San Francisco

Board of Governors

  • Fed Communication, News, Twitter, and Echo Chambers

    Bennett Schmanski, Chiara Scotti, Clara Vega, Hedi Benamar

    Research conducted using AI/ML tools

    We estimate monetary policy surprises (sentiment) from the perspective of three different textual sources: direct central bank communication (FOMC statements and press conferences), news articles, and Twitter posts during FOMC announcement days. Textual sentiment across sources is highly correlated, but there are times when news and Twitter sentiment substantially disagree with the sentiment conveyed by […]

  • More than Words: Twitter Chatter and Financial Market Sentiment

    Travis Adams, Andrea Ajello, Diego Silva, Francisco Vazquez-Grande

    Research conducted using AI/ML tools

    We build a new measure of credit and financial market sentiment using Natural Language Processing on Twitter data. We find that the Twitter Financial Sentiment Index (TFSI) correlates highly with corporate bond spreads and other price- and survey-based measures of financial conditions. We document that overnight Twitter financial sentiment helps predict next day stock market […]