Yossi Saadon

Bank Of Israel · Research Department

We examine how the Federal Reserve (Fed) communicated during the COVID-19 pandemic and compares it with other periods of stress. This comparison uses novel dictionaries related to COVID-19, unconventional monetary policy (UMP), financial stability, and usual sentiment analysis and topic modeling. We show that Fed communication during the COVID-19 p...

This article investigates how uncertainty impacts the effect of monetary policy surprises on stock returns. Using high-frequency US data, we demonstrate that stock markets respond more aggressively to monetary policy surprises during periods of high uncertainty. We also show that uncertainty asymmetrically influences the transmission of positive an...

R replication codes for "Stock Market Reactions to Monetary Policy Surprises Under Uncertainty". If these replication files were useful for your research paper, please cite them as: Benchimol, J., Saadon, Y., and Segev, N., 2023. Stock market reactions to monetary policy surprises under uncertainty. International Review of Financial Analysis, 89, 1...

Each person’s characteristics may influence that person’s behaviors and outcomes. This study builds and uses a new database to estimate experts’ performance and boldness based on their experience and characteristics. Our study classifies experts providing inflation forecasts based on their education, experience, gender, and environment. We provide...

Each person’s characteristics may influence that person’s behaviors and outcomes. This study builds and uses a new database to estimate experts’ performance and boldness based on their experience and characteristics. Our study classifies experts providing inflation forecasts based on their education, experience, gender, and environment. We provide...

We review several existing text analysis methodologies and explain their formal application processes using the open-source software R and relevant packages. Several text mining applications to analyze central bank texts are presented.

The global financial crisis (GFC) triggered the use of macroprudential policies imposed on the banking sector. Using bank-level panel data for Israel for the period 2004–2019, we find that domestic macroprudential measures changed the composition of bank credit growth but did not affect the total credit growth rate. Specifically, we show that macro...

We translate print media coverage into a gauge of human sentiment and the equivalent advertisement value, and find that the tone of media coverage substantially impacts stock markets. The tone has a positive effect on overnight stock returns and a negative effect on intraday returns, while conditional variance and daily price gaps are negatively in...

The increasing globalization of trade in goods and services and the deepening of financial markets have reduced frictions that may impede the operation of the PPP and UIP relationships in the short run. In this paper, we estimate the short term relative PPP and UIP relationships. Using data from Israel, that has a deep market for inflation expectat...

In this paper we analyze the impact of terrorist attacks conducted in Israel during the Second Intifada (2000-2006) on the Israeli stock market. The impact is assessed by differentiating between attacks in the center of Israel (what is termed here the core region) and attacks in the periphery (the southern and northern areas of the country). We use...

Economic stability during the last 15 years drastically reduced changes in interest rates determined by central banks. The small fluctuations in interest rates reduced the possibility of using quantitative econometric models to estimate the reaction function which central banks use when determining the interest rate. We regard interest decisions as...