Does fiscal sentiment matter for sovereign risk?

Gabriel Montes, Rodolfo Nicolay and Flavio Pereira

The Quarterly Review of Economics and Finance, 2022, vol. 86, issue C, 18-30

Abstract: This study is the first to elaborate sentiment indicators related to the fiscal environment using information obtained from communiqués issued by official institutions, and the first to analyze the relationship between sovereign risk and fiscal sentiment. We create three measures of fiscal sentiment: the first is the general measure, consisting of information obtained from communiqués issued by the Central Bank of Brazil and the Ministry of Finance; the second consists of information obtained from communiqués issued by the Central Bank of Brazil only, and; the third measure consists of information obtained from communiqués issued by the Ministry of Finance only. The creation of these specific sentiment indicators is to verify whether sovereign risk measures respond differently to measures of sentiment related to the fiscal environment when information is extracted from communiqués issued by different official institutions. The results indicate that fiscal sentiment is able to affect sovereign risk. The findings also show that the fiscal sentiment obtained from information contained in the Brazilian Ministry of Finance’s communiqués has a greater impact on sovereign risk.

Keywords: Sovereign risk; Sentiment analysis; Fiscal policy; CDS; EMBI (search for similar items in EconPapers)
JEL-codes: D83 E62 H63 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976922000618
Full text for ScienceDirect subscribers only

Related works:
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: https://EconPapers.repec.org/RePEc:eee:quaeco:v:86:y:2022:i:c:p:18-30

DOI: 10.1016/j.qref.2022.06.001

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().