PicaultRenault_data {sentopics}

Regression dataset based on Picault & Renault (2017)

Description

A regression dataset built to partially replicate the result of Picault & Renault. This dataset contains, for each press conference published after 2000:

• The Main Refinancing Rate (MRR) of the ECB set following the press conference

• The change in the MRR following the press conference

• The change in the MRR observed at the previous press conference

• The Bloomberg consensus on the announced MRR

• The Surprise brought by the announcement, computed as the Bloomberg consensus minus the MRR following the conference

• The EURO STOXX 50 return on the day of the press conference

• The EURO STOXX 50 return on the day preceding the announcement

Usage

PicaultRenault_data

Format

An xts::xts object.

Source

The data was manually prepared by the author of this package.

References

Picault, M. & Renault, T. (2017). Words are not all created equal: A new measure of ECB communication. Journal of International Money and Finance, 79, 136–156.

Examples

head(PicaultRenault_data)