News-based Sentiment Indicators

Chengyu Huang, Sean Simpson, Daria Ulybina and Agustin Roitman

No 2019/273, IMF Working Papers from International Monetary Fund

Abstract: We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like “fear”, “risk”, “hedging”, “opinion”, and, “crisis”, as well as “positive” and “negative” sentiments, in news articles from the Financial Times. We assess the performance of our sentiment indices as “news-based” early warning indicators (EWIs) for financial crises. We find that sentiment indices spike and/or trend up ahead of financial crises.

Keywords: WP; sentiment index; crisis sentiment; seed words; sentiment indices; term cluster; word vector representation; word-vector models; early warning indicators; risk; crisis; sentiment; financial crises; vector representation; Early warning systems; Hedging; Banking crises; Global financial crisis of 2008-2009; Global (search for similar items in EconPapers)
Pages: 56
Date: 2019-12-06
New Economics Papers: this item is included in nep-big and nep-rmg
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Citations: View citations in EconPapers (6)

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