Publications

The purpose of this study was to examine the impact of ESG rating changes of companies listed in the Korean Stock Exchange on stock returns. Based on yearly changes of ESG ratings we grouped companies into two portfolios (upgrade and downgrade) and calculated portfolios' returns. In the COVID-19 period (2020–2021), the upgraded portfolio outperforms the downgraded portfolio by 0.7 percentage points per month, statistically significant after controlling for Carhart four factors. This study is the first to examine the impact of ESG rating changes on stock returns in Korea.

Text mining or natural language processing is a multi-discipline technique that can distill and obtain useful information from text. With the development of AI and increasing abundance of big data, text mining is becoming one of the essential technologies in the fields of business, government, and academia. This paper provides a detailed description of how text data analysis can be used for economic analysis by reviewing key methodologies and related literature. We expect that text mining will complement the limitations of current data and methodologies by serving as a new source of information.

This study investigates the existence of additional information in the monetary policy board (MPB) minutes of the Bank of Korea (BOK) through topic modeling and sentiment analysis. We extract five topics: the economy, monetary policy, financial market, prices, and debt. An ordered probit model reveals that tones of monetary policy, prices, and debt have additional information on the current interest rate decision, and the tone of the economy has predictive power for the future interest rate decision.

We propose a novel approach to measure monetary policy shocks using sentiment analysis, which is relatively free from specification errors compared to VAR-identified shocks. We quantify the tones of news articles around 152 dates of Monetary Policy Board (MPB) meetings of the Bank of Korea (BOK) from 2005 to 2017 and measure monetary policy surprises using changes in those tones following monetary policy announcements. Our text-based measure better explains changes in long-term rates, while changes in the base rate and VAR-identified shocks are more closely associated with changes in short-term rates.