解读巴西央行货币政策委员会（Copom）的语气：用于判断鹰派-鸽派情绪、前瞻性指引及不确定性的加权大语言模型（LLM）框架
Reading Copom's Tone: A Weighted LLM Framework for Hawkish-Dovish Sentiment, Forward Guidance, and Uncertainty
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中文总结 AI 辅助
本研究提出一种加权大语言模型框架，用于分析巴西央行Copom声明的鹰派-鸽派情绪、前瞻性指引及不确定性，通过实证样本验证了方法的有效性，核心贡献为构建了可分离语气与政策指引的可审计系统。
中文摘要 AI 辅助
本文介绍了一个用于衡量巴西货币政策委员会（Copom）声明语气的应用自然语言处理框架。该项目明确借鉴了伊塔乌银行（Itaú）的央行情绪分类器iSent，尤其是其将官方沟通内容按句子级别划分为鹰派、鸽派、中性及语境外类别的思路。该实现从三个方向拓展了这一理念：第一，大语言模型（LLM）识别简短的鹰派和鸽派表述，并为每个表述分配0到1的强度权重；第二，文档指数结合句子数量与文档特定的平均信号强度，生成-1到1区间内的有界分数；第三，单独的全文本层用于衡量前瞻性指引的方向、指引明确性、不确定性水平及不确定性变化。实证样本限定为2016年8月及之后的沟通内容，包含2016年8月31日至2026年8月5日期间的80份声明和1498个分类句子。在该样本中，33.3%的句子为鹰派，18.0%为鸽派，42.1%为中性，6.5%为语境外。平均文档得分为+0.107，最鹰派的读数为2021年8月的+0.570。2026年8月5日的最新声明得分为+0.232，包含8个鹰派句子、2个鸽派句子和9个中性句子。其结构层面的分析更为细致：指引方向模糊但部分明确，不确定性被归类为中等且高于前一次会议。语气与指引方向得分的同期皮尔逊相关系数为0.719。这些为描述性输出，而非对塞利格（Selic）决策或DI收益的验证预测。因此，主要贡献在于方法论层面：一个透明、增量式、可审计的系统，将修辞语气与政策指引及不确定性相分离。
英文摘要
This paper documents an applied natural-language-processing framework for measuring the tone of Brazilian Monetary Policy Committee (Copom) statements. The project is explicitly inspired by iSent, Itaú's Central Bank sentiment classifier, particularly its sentence-level division of official communication into hawkish, dovish, neutral, and out-of-context classes. The implementation extends that idea in three directions. First, an LLM identifies short hawkish and dovish expressions and assigns each a 0-to-1 intensity weight. Second, the document index combines sentence counts with document-specific average signal intensities, producing a bounded score from -1 to 1. Third, a separate full-document layer measures forward-guidance direction, guidance explicitness, uncertainty level, and change in uncertainty. The empirical sample is restricted to communications dated August 2016 or later and contains 80 statements and 1,498 classified sentences from August 31, 2016 through August 5, 2026. Across this sample, 33.3% of sentences are hawkish, 18.0% dovish, 42.1% neutral, and 6.5% out of context. The average document score is +0.107, while the most hawkish reading is +0.570 in August 2021. The latest statement, dated August 5, 2026, scores +0.232, with eight hawkish, two dovish, and nine neutral sentences. Its structural overlay is more nuanced: guidance is directionally ambiguous but partly explicit, while uncertainty is classified as central and higher than at the prior meeting. Tone and the guidance-direction score have a contemporaneous Pearson correlation of 0.719. These are descriptive outputs, not a validated forecast of Selic decisions or DI returns. The main contribution is therefore methodological: a transparent, incremental, auditable system that separates rhetorical tone from policy guidance and uncertainty.
发表机构
- Instituto de Tecnologia e Liderança（技术与领导力研究所）
机构由 AI 辅助整理，请以论文原文为准。
