PicaultRenault_data {sentopics} | R Documentation |
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)