New CEPR discussion paper: Identifying Monetary Policy Shocks in Newspapers using GPT

In their recent CEPR discussion paper, Felix Betz, Peter Bofinger, Jonas Dix and Leonie Streit present a novel method to identify monetary policy shocks. Using different LLMs, they assess a large database of newspaper articles to classify every ECB policy decision either as expected or as a surprise. The resulting aggregated surprise series aligns well with established methods but provides new insights regarding the nature of the surprise.

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