Abstract

We use the text of financial stability reports (FSRs) published by central banks to analyze the relation between the sentiment they convey and the financial cycle. We construct a dictionary tailored specifically to a financial stability context, which classifies words as positive or negative based on the sentiment they convey in FSRs. With this dictionary, we construct financial stability sentiment (FSS) indexes for thirty countries between 2005 and 2017. We find that central banks’ financial stability communications are mostly driven by developments in the banking sector. Moreover, the sentiment captured by the FSS index explains movements in financial cycle indicators related to credit, asset prices, systemic risk, and monetary policy rates. Finally, our results show that the sentiment in central banks’ communications is a useful predictor of banking crises—a one percentage point increase in FSS is followed by a twenty-nine percentage point increase in the probability of a crisis.

中文翻译：

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中央银行金融稳定报告中的观点*

摘要

我们使用中央银行发布的金融稳定报告（FSR）的文本来分析它们传达的情绪与金融周期之间的关系。我们构建了专门针对财务稳定情况而定制的字典，该字典根据FSR中传达的情感将单词分为正面还是负面。借助该词典，我们为2005年至2017年之间的30个国家/地区构建了金融稳定情绪（FSS）指数。我们发现，中央银行的金融稳定沟通主要是由银行业的发展驱动的。此外，FSS指数反映的情绪解释了与信贷，资产价格，系统风险和货币政策利率有关的金融周期指标的变动。最后，