Abstract:We analyze the effect on the yield curve of Banco de la Republica's communication through two specific outlets, the minutes of the monetary policy meetings and the inflation reports during the period 2011-Q2 to 2018-Q4. We extract numeric information from the inflation reports' fan charts, and narrative information-using Latent Dirichlet Allocation, a computational linguistics tool-from the text of both outlets. We use an event-study approach to analyze the impact on four specific maturities: one-year spot, th… Show more
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