We provide evidence that sentiment extracted from articles related to interest rates, inflation, and the labor market has the ability to explain short-term interest rate movements that cannot be accounted for by professionals’ and consumers’ expectations. Additionally, sentiment can pin down two short rate regimes that are correlated with the business cycle. By combining these results with a yield curve model, we find that market sentiment has a statistically significant negative effect on the short end of the yield curve and a positive effect on the slope. We also show that sentiment improves the out-of-sample forecast accuracy of short-term yields.

中文翻译：

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宏观经济新闻情绪对利率的影响

我们提供的证据表明，从与利率、通货膨胀和劳动力市场相关的文章中提取的观点能够解释专业人士和消费者的预期无法解释的短期利率变动。此外，情绪可以确定与商业周期相关的两种短期利率制度。通过将这些结果与收益率曲线模型相结合，我们发现市场情绪对收益率曲线的短端具有统计显着的负面影响，而对斜率具有积极影响。我们还表明，情绪提高了短期收益率的样本外预测准确性。