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A0298
Title: Sentiment-based financial networks and the impact of monetary policy shocks Authors:  Petre Caraiani - Bucharest University of Economic Studies (Romania) [presenting]
Abstract: Recent work in the transmission of monetary policy shocks on financial markets has incorporated the role of networks. This has been done generally in two ways, either using data from production networks, or by using data from networks of assets. Statistically, most of the work has been done based on simple correlations or derived from VAR models. We consider networks that are formed on the basis of the sentiments characterizing sectors or stocks on the networks. We also aim to propose new ways to construct statistical networks relevant to the financial markets and the sentiment characterizing them. We then study how the transmission of monetary policy works through such networks.