Annotating datasets can often be prohibitively expensive and laborious. Emotion annotation specifically has been shown to be a difficult task in which even trained annotators rarely reach high agreement. With the introduction of ChatGPT, GPT-4 and other Large Language Models (LLMs), however, a new line of research has emerged that explores the possibilities of automated data annotation. In this paper, we apply GPT-4 to the task of annotating a dataset, which is subsequently used to train a BERT model for emotion analysis of Finnish parliamentary speeches. In our experiment, GPT-4 performs on par with trained annotators and the annotations it produces can be used to train a classifier that reaches micro F1 of 0.690. We compare this model to two other models that are trained on machine translated datasets and find that the model trained on GPT-4 annotated data outperforms them. Our paper offers new insight into the possibilities that LLMs have to offer for the analysis of parliamentary corpora.