I analyze how the tone of central bank press conferences impacts risk premia in the currency market. Tone is measured as the difference between the number of hawkish and dovish phrases mafide during a press conference, as a fraction of total phrases. A one standard deviation increase in the hawkishness of a press conference is associated with a 1.5% decline in the variance risk premium, a 4.9% decline in the subsequent variance swap return, and a 0.2% increase in option implied risk aversion. The impact of tone comes primarily from the questions & answers, or the unscripted portion of the press conference.

中文翻译：

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央行基调和货币风险溢价

我分析了央行新闻发布会的基调如何影响货币市场的风险溢价。语气被衡量为新闻发布会期间鹰派和鸽派短语数量之间的差异，作为总短语的一部分。新闻发布会的强硬态度每增加一个标准差，方差风险溢价就会下降 1.5%，随后的方差掉期收益会下降 4.9%，期权隐含风险厌恶会增加 0.2%。语气的影响主要来自问答，或新闻发布会的无脚本部分。