Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials Discussion Paper Series No. 20 / 2020 ISSN 2345-0835 (online) Discussion Paper Series No. 20 / 2020 Linas Jurkšas (Bank of Lithuania)1 Vitalijus Klincevičius (Strata) June 2020 1 Email:
[email protected]. 2 © Lietuvos bankas, 2020 Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. Gedimino pr. 6, LT-01103 Vilnius, Lithuania www.lb.lt Discussion papers describe research in progress and are published to stimulate discussion and critical comments. The series is managed by the Applied Macroeconomic Research Division of the Economics Department and the Center for Excellence in Finance and Economic Research. The views expressed are those of the author(s) and do not necessarily represent those of the Bank of Lithuania. 3 ABSTRACT The aim of this paper is to assess how relevant is the topic of sovereign bond valuations in official ECB Executive Board member speeches and, in particular, under what circumstances do ECB officials begin communicating the driving factors of sovereign bond pricing. For this purpose, we downloaded over 2000 public ECB Executive Board member speeches and applied various text mining techniques. The visual analysis revealed that the importance of the topic of sovereign bond pricing and related risk factors in ECB officials’ speeches has greatly fluctuated over time. The main structural break points were linked to the financial market turbulences, but this topic, possibly due to the introduction of sovereign bond purchases, remained relatively popular even after stress episodes. The linkages between the publicly communicated terms of sovereign bond pricing and related risk factors were rather complex and change in respect to the market situation.