Do Google Trends Help to Forecast Sovereign Risk in Europe?

Marcos González-Fernández () and Carmen González-Velasco
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Marcos González-Fernández: Universidad de León
Carmen González-Velasco: Universidad de León

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 413-417 from Springer

Abstract: Abstract The aim of this paper is to analyze whether internet activity, as measured through Google data, influences the evolution of sovereign bond yields. For this purpose, we focus on ten European countries. We run VAR models and Granger causality tests between the Google Search Volume Index (GSVI) and sovereign risk. The VAR models and the causality tests for five core and five peripheral countries suggest that in the latter, especially Greece, Google data have had the highest positive impact on sovereign yields.

Keywords: Google trends; Sovereign risk; Europe (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_74

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DOI: 10.1007/978-3-319-89824-7_74

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