Getting sentimental: Using news sentiment to measure financial stress in New Zealand

Trent Lockyer
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Trent Lockyer: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

No AN2024/07, Reserve Bank of New Zealand Analytical Notes series from Reserve Bank of New Zealand

Abstract: Key findings: • In this Note, we construct new high-frequency indicators which measure the sentiment of New Zealand news articles over time. • We test the usefulness of these news sentiment indicators as a measure of early-stage financial stress in New Zealand, one of several possible applications for these indicators. • The news sentiment indicators provide similar information to measures of consumer and business confidence. As the sentiment measures are updated more frequently than the survey-based confidence measures they can provide more timely information and more clearly identify the effect of specific events on consumer and business sentiment. • Our results suggest the news sentiment indicators can be a useful complement to the forward-looking indicators of financial stress we monitor, and we are considering how to enhance and build these techniques into our ongoing assessment of financial stability.

Pages: 31 pp.
Date: 2024-07
New Economics Papers: this item is included in nep-big and nep-fdg
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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbans:2024/07

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