EconPapers    
Economics at your fingertips  
 

A Sentiment-based Risk Indicator for the Mexican Financial Sector

Caterina Rho (), Fernández Raúl and Palma Brenda

No 2021-04, Working Papers from Banco de México

Abstract: We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a voting classifier to aggregate three different classifiers: one based on word polarities from a pre-defined dictionary; one based on a support vector machine; and one based on neural networks. Next, we compare our Twitter sentiment index with existing indicators of financial stress. We find that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. 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.

JEL-codes: G1 G21 G41 (search for similar items in EconPapers)
Date: 2021-05
New Economics Papers: this item is included in nep-big, nep-cmp, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.banxico.org.mx/publications-and-press/ ... -C6C5BF10A64A%7D.pdf (application/pdf)

Related works:
Journal Article: 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: https://EconPapers.repec.org/RePEc:bdm:wpaper:2021-04

Access Statistics for this paper

More papers in Working Papers from Banco de México Contact information at EDIRC.
Bibliographic data for series maintained by Subgerencia de desarrollo de sistemas ().

 
Page updated 2023-01-07
Handle: RePEc:bdm:wpaper:2021-04