International Symposium on Monetary and International Economics

14:00 - 15:30

論題

Capturing International Influences in U.S. Monetary Policy through a NLP Approach

報告者

Laurent FERRARA（SKEMA Business School）

概要

In this paper, we question the role of the international environment in shaping Fed monetary policy decisions, beyond the domestic dual mandate. In this respect, we use minutes of the Federal Open Market Committee and construct indexes of the attention paid by U.S. monetary policymakers to the international economic and financial situation. These indexes are built by applying natural language processing (NLP) techniques ranging from word count to built-from-scratch machine learning models, including OpenAI's GPT models. By integrating those text-based indicators into a Taylor rule, we derive various quantitative measures of the external influences on Fed decisions. Our results show that when there is a focus on international topics within the FOMC, the Fed's monetary policy generally tends to be more accommodative than expected by a standard Taylor rule. Results are robust to various alternatives that include a time-varying neutral interest rate or a shadow central bank interest rate.

15:45 - 17:15

論題

How Do ESG Performance and Awareness Affect Firm Value and Corporate Overinvestment?

報告者

沖本　竜義（慶応義塾大学経済学部）

概要

The relationship between a firm's environmental, social, and governance (ESG) performance and its firm value has attracted considerable attention due to the rapid growth of ESG investing over the past decade. This study examines how ESG performance affects firm value, proxied by Tobin's Q, whilst also exploring whether investor awareness of ESG activities have an impact on this relationship. The results indicate that as global ESG awareness, measured by the number of signatories to the United Nations Principles for Responsible Investment (PRI), increases, firms with higher ESG performance tend to be valued higher. Regarding corporate investment, the results suggest that firms with better ESG performance have larger investment opportunities, reflected in higher Tobin's Q. Building on these findings, the study further investigates whether firms with higher ESG performance are more prone to overinvest. The overall results provide little evidence that ESG performance induces the firms' overinvestment behavior for most of the sectors.