Browsing by Author "Sharif, Aneliya"

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    CENTRAL BANK TEXT SHOCKS, MONETARY SURPRISES, AND INFLATION EXPECTATIONS IN KAZAKHSTAN
    (Nazarbayev University Graduate School of Business, 2023) Zholdas, Sanzhar; Sharif, Aneliya
    This paper explores whether press releases of the National Bank of Kazakhstan (NBK) contain valuable information and what is its effect on market expectations. We modified the method of Romer and Romer (2004) by including the word sentiments from the press releases to the ridge regression. The residuals of that ridge regression are considered as monetary policy shocks. We were able to increase the fit of the ridge regression, which means that press releases include information beyond those incorporated by the forecasts of the NBK only. In addition, we found that impulse response functions show that the effect of monetary policy shocks on the macroeconomic variables is not significant, although in line with the theory. To examine the effect of press releases on the market expectations we used TFIDF text analysis (Handlan, 2022) and the month forward yields on government bonds. We found that the effect of English language press releases is not significant while that of the Russian language press releases is significant. The model seems to have a better fit with Russian language press releases overall. These findings suggest that the NBK audience is more receptive to communication in Russian rather than in English.