Economics at your fingertips  

A sentiment-based risk indicator for the Mexican financial sector

Raul Fernandez, Brenda Palma Guizar and Caterina Rho ()

Latin American Journal of Central Banking (previously Monetaria), 2021, vol. 2, issue 3

Abstract: We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in Mexico. We classify a sample of tweets from 2006-2019 to identify messages in response to a positive or negative shock to the Mexican financial sector, relative to merely informative ones. We use a voting classifier approach based on three different classifiers: one based on word polarities from a pre-defined dictionary, one based on a support vector machine classifier, and one based on neural networks. We find that the voting classifier outperforms each of the other classifiers when taken alone. Next, we compare our sentiment index with existing indicators of financial stress based on quantitative variables. We find that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures, such as financial frauds, failures in payment systems, and money laundering. Finally, we show that a shock in our Twitter sentiment index correlates positively with an increase in financial market risk, stock market volatility, sovereign risk, and foreign exchange rate volatility.

Keywords: sentiment analysis; systemic risk; banks (search for similar items in EconPapers)
JEL-codes: G1 G21 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
Gold Open Access

Related works:
Working Paper: A Sentiment-based Risk Indicator for the Mexican Financial Sector (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.latcb.2021.100036

Access Statistics for this article

Latin American Journal of Central Banking (previously Monetaria) is currently edited by Manuel Ramos-Francia

More articles in Latin American Journal of Central Banking (previously Monetaria) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2023-06-15
Handle: RePEc:eee:lajcba:v:2:y:2021:i:3:s2666143821000168