Palabras clave
política monetaria
procesamiento del lenguaje natural
logit ordinal
predictibilidad
Cómo citar
Resumen
Comprender el impacto de la comunicación de los bancos centrales en la transmisión efectiva y la predictibilidad de la política monetaria es fundamental. En este artículo, analizamos el papel de la comunicación cualitativa del Banco de México y su alcance potencial para la orientación mediante la aplicación de Procesamiento de Lenguaje Natural. Utilizando un modelo de Asignación de Dirichlet Latente y un análisis de sentimiento basado en diccionarios, desarrollamos un índice de Tono Hawkish-Dovish para medir el sesgo de los comunicados de política monetaria del Banco de México. Seguidamente, se incorpora este índice en una regresión logística ordinal para evaluar el poder predictivo de las declaraciones del Banco de México. Los hallazgos muestran que un aumento (recorte) de tasas y un mensaje hawkish (dovish) se asocian con mayores probabilidades de observar una decisión restrictiva (expansiva) en la próxima reunión de política monetaria, y que la comunicación captura información no reflejada en variables macroeconómicas tradicionales. Sin embargo, cuando se trata de anticipar con precisión las próximas decisiones de tasas de interés, la información proporcionada en los comunicados tiene un valor predictivo limitado.
Citas
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