Tighter policy interpretations precede output and price declines

The authors use GPT-4.1 to score reports from Deutsche Bank, Goldman Sachs, J.P. Morgan, Morgan Stanley, Société Générale and BNP Paribas.

The sample contains 265 matched bank-meeting observations across 105 event months from July 2011 to March 2025.

Previews cover the seven days before meetings; recaps cover the meeting day and following seven days.

Scores range from -1 for easing to +1 for tightening.

Bank-specific regressions remove policy-tone revisions associated with inflation and economic-tone revisions; the authors average residuals equally across banks.

Alternative prompts produce a 0.909 correlation across 1,515 report scores and broadly similar estimated responses.

The paper expresses the authors' views, not necessarily the ECB's.

Monthly local projections over 36 months control for conventional rate surprises and macro-financial conditions.

Output, GDP-deflator and employment troughs are negative at the 10 percent significance level in years one and three, but not year two.

One-month, three-month and two-year overnight-index-swap rates rise before reversing after around two years.

The euro initially depreciates, appreciates around months 16–23, then reverses.

Ten-year sovereign-yield responses are less persistent.

Correlations with market-based policy shocks are weak to moderate.