Shrimali, S., & Ahmad, W. (2025). Finance Research Letters, 86.
Abstract:
We investigate a new dimension of monetary policy spillover by analysing the sentiment of speeches for twenty central banks between 2000 and 2024. We add to the existing literature by highlighting the temporal relevance of communication spillovers. We observe that the total sentiment spillover varies between 22% to 57%. The findings also reveal key spillover dynamics during global and domestic crises, highlighting the influential role of the Federal Reserve in this network. The macroeconomic conditions in the United States (US) are a major driver of these spillovers. The zero-lower bound in the US accounts for 24% of the variation in overall sentiment spillovers. We contribute to the discussion on the relevance of communication as a policy tool and to the debate on whether central banks are all ears.
Shrimali, S., & Ahmad, W. (2025). Emerging Markets Review, 65.
Abstract:
The emerging market economies have revamped their monetary policy frameworks and adopted prudent policy communication, bearing in mind their structural challenges. Thus, it is crucial to examine the efficacy of the central bank communication as a policy tool in these economies. This study leverages natural language processing and textual analysis procedures to quantify the tone of the monetary policy statements by the Reserve Bank of India (RBI) – India's central bank, and answer the following questions: Does the tone of RBI's policy communication contain information indicating future policy decisions? Does the stock market respond to the tone of RBI's policy communication? The study answers the above questions and shows that the RBI's policy statements contain forward-looking information about future policy decisions and their effectiveness in manoeuvring the Indian stock market.
Kindly refer to the details on the RBI Communication page.
Shrimali, S., & Ahmad, W. (2022). Economic and Political Weekly, 57(41).
Abstract:
The study draws attention to the Reserve Bank of India’s communication as a policy tool and its impact on market participants. It first aims to quantify the qualitative variable—communication by employing textual analysis methods. The investigation starts by extracting the tone of monetary policy statements and trace its transmission on market sentiment in the presence of various informational, macroeconomic, and financial controls. The work concludes that market participants draw inferences from the tone of the RBI’s monetary policy statement and update their information set about the present state and prospects.
with Wasim Ahmad (Thesis Chapter)
Abstract:
Central banks and financial markets react to each other in a global sphere. This paper delineates the structure of these interactions by identifying information spillovers between central bank communication, the stock market, and the foreign exchange market of 14 countries from 2000 to 2024. It primarily focuses on examining the dynamic spillover patterns among different types of entities and determining the factors that affect these spillovers. The findings suggest that central bank sentiment reflects more information from global financial markets than from other central bank communication. At the same time, central communication is informative for financial markets during systematic events. The spillovers between central banks, stock markets, and foreign exchange markets vary with equity market uncertainty, policy uncertainty, and market expectation deviation. In addition, the study also presents a comparative analysis of countries in the information flow network through three different institutions using multilayer networks. The paper has implications on the information spillover process of the entities examined and the effectiveness of central bank communication.
with Wasim Ahmad, Vipin, Mohammad Arshad Rahman, and Preeti Roy
Abstract:
This article develops multiple novel climate risk measures (or variables) based on the television news coverage by Bloomberg, CNBC, and Fox Business, and examines how they affect the systematic and idiosyncratic risks of clean energy firms in the United States. The measures are built on climate related keywords and cover the volume of coverage, type of coverage (climate crisis, renewable energy, and government & human initiatives), and media sentiments. We show that an increase in the aggregate measure of climate risk, as indicated by coverage volume, reduces idiosyncratic risk while increasing systematic risk. When climate risk is segregated, we find that systematic risk is positively affected by the physical risk of climate crises and transition risk from government & human initiatives, but no such impact is evident for idiosyncratic risk. Additionally, we observe an asymmetry in risk behavior: negative sentiments tend to decrease idiosyncratic risk and increase systematic risk, while positive sentiments have no significant impact. These findings remain robust to including print media and climate policy uncertainty variables, though some deviations are noted during the COVID-19 period.