巴基斯坦国家银行货币政策文件的情感分析及其对股票市场的影响
Sentiment Analysis of State Bank of Pakistan's Monetary Policy Documents and its Impact on Stock Market
AI总结：
本文通过情感分析与高频短窗口方法研究巴基斯坦国家银行货币政策沟通对股市的影响，发现其语气变化会显著影响卡拉奇证券交易所股票回报，但该影响不具长期恒定性。
摘要：
本研究考察巴基斯坦国家银行（SBP）沟通中所传达的情感是否会影响金融市场预期，并能否充当一种货币政策工具。为实现目标，我们首先使用情感分析技术来量化SBP货币政策文件的语气，其次采用短时间窗口、高频方法来近似估计语气对股票市场回报的影响。我们的结果表明，语气正向（负向）变化会对卡拉奇证券交易所的股票回报产生正向（负向）影响。进一步扩展显示，在控制不同变量和货币政策工具后，SBP的沟通对股票回报仍具有统计显著影响。此外，SBP的沟通对股票市场并不存在长期恒定的影响。
英文摘要：
This research examines whether sentiments conveyed in the State Bank of Pakistan's (SBP) communications impact financial market expectations and can act as a monetary policy tool. To achieve our goal, we first use sentiment analysis techniques to quantify the tone of SBP monetary policy documents and second, we use short time window, high frequency methodology to approximate the impact of tone on stock market returns. Our results show that positive (negative) change in the tone positively (negatively) impacts stock returns in Karachi Stock Exchange. Further extension shows that the communication of SBP still has a statistically significant impact on stock returns when controlling for different variables and monetary policy tool. Also, the communication of SBP does not have a long term constant effect on stock market.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
