Sentiment-based Financial Stress Index for Hungary

Beáta Horváth, Tamás Berki, Lívia Réka Ónozó and Csanád Temesvári
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Beáta Horváth: Magyar Nemzeti Bank (Central Bank of Hungary)
Tamás Berki: Magyar Nemzeti Bank (Central Bank of Hungary)
Lívia Réka Ónozó: Magyar Nemzeti Bank (Central Bank of Hungary)
Csanád Temesvári: Magyar Nemzeti Bank (Central Bank of Hungary)

No 2026/3, MNB Working Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

Abstract: This paper proposes a sentiment-based financial stress indicator for Hungary based on occurrence of financial crisis related terms and explores its relationship with macrofinancial variables related to financial uncertainty. Sentiment analysis was conducted on textual data from two major Hungarian news portals covering the period from 2005 to 2020. The terms used in the analysis carry negative connotations, making them suitable for capturing financial instability and stress. The index successfully identifies stress periods that are not adequately reflected by other available sentiment indices related to Hungary. Overall, we propose a novel type of index that enables timely, even real-time monitoring of financial stress situation in Hungary across different time frequencies.

Keywords: sentiment; financial stress; text analysis (search for similar items in EconPapers)
JEL-codes: C32 E44 G01 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2026-07
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Persistent link: https://EconPapers.repec.org/RePEc:mnb:wpaper:2026/3

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