Near-Zero Correlation (r = 0.005): Speech sentiment does not systematically track macroeconomic conditions.
0.005
Macro-Hawkish Corr
72%
Variance (2 PCs)
8
Macro Breaks
12
Inflation Breaks
Key Finding
Pipeline Architecture
+
flowchart TB
subgraph Inputs["Input Data"]
A["macro_data.csv"]
B["speeches.parquet"]
end
subgraph Macro["Macro Analysis"]
C["Rolling Std (12m)"]
D["PCA (PC1, PC2)"]
E["PELT Breakpoints"]
end
subgraph Sentiment["Sentiment"]
F["Filter US (2,421)"]
G["Monthly Aggregation"]
end
subgraph Results["Results"]
H["Rolling Regression (36m)"]
I["Correlation Analysis"]
end
A --> C --> D --> E
D --> H
B --> F --> G --> H --> I
FRED Series
+| Series | Name | Description |
|---|---|---|
| FEDFUNDS | Fed Funds Rate | Federal funds effective rate (%) |
| CPIAUCNS | CPI | Consumer Price Index |
| PPIACO | PPI | Producer Price Index |
| GDP | GDP | Gross Domestic Product |
| UNRATE | Unemployment | Unemployment Rate (%) |
| PAYEMS | Nonfarm Payrolls | Total Nonfarm Employment |
PCA Variance
+| Component | Variance | Cumulative | Interpretation |
|---|---|---|---|
| PC1 | 48.6% | 48.6% | Macro Strength Index |
| PC2 | 23.2% | 71.8% | Inflation Index |
| PC3 | 15.4% | 87.1% | - |
Breakpoints (PELT)
+Macro Index (8 breakpoints)
| # | Date |
|---|---|
| 1 | 2001-01 |
| 2 | 2003-12 |
| 3 | 2007-04 |
| 4 | 2010-03 |
| 5 | 2016-11 |
| 6 | 2019-05 |
| 7 | 2021-06 |
| 8 | 2023-07 |
Inflation Index (12 breakpoints)
| # | Date |
|---|---|
| 1 | 1999-05 |
| 2 | 2001-06 |
| 3 | 2002-04 |
| 4 | 2004-05 |
| 5 | 2007-04 |
| 6 | 2008-07 |
| 7 | 2014-10 |
| 8 | 2016-06 |
| 9 | 2018-07 |
| 10 | 2020-08 |
| 11 | 2022-09 |
| 12 | 2023-12 |
All 12 Charts
1. Rolling-Standardized Macro Variables
2. Principal Components
3. Macro Index Breakpoints
4. Inflation Index Breakpoints
5. Speech Volume
6. Inflation vs Sentiment
7. Rolling Betas (Macro)
8. Rolling R2 (Macro)
9. Rolling Betas (Inflation)
10. Rolling R2 (Inflation)
11. Correlation Matrix
12. PCA Loadings
