News-based Sentiment Indicators
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Summary:
We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like “fear”, “risk”, “hedging”, “opinion”, and, “crisis”, as well as “positive” and “negative” sentiments, in news articles from the Financial Times. We assess the performance of our sentiment indices as “news-based” early warning indicators (EWIs) for financial crises. We find that sentiment indices spike and/or trend up ahead of financial crises.
Series:
Working Paper No. 2019/273
Subject:
Banking crises Early warning systems Financial crises Financial regulation and supervision Global financial crisis of 2008-2009 Hedging
English
Publication Date:
December 6, 2019
ISBN/ISSN:
9781513518374/1018-5941
Stock No:
WPIEA2019273
Pages:
56
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