On the Construction of a Leading Indicator Based on News Headlines for Predicting Greek Deposit Outflows

Dimitris Anastasiou and Athanassios Petralias

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this study is twofold. First, construct a leading indicator based on news headlines, and second, examine whether this novel indicator affects Greek bank deposit flows’ trajectory. Employing alternative econometric methodologies, we find that this index proxies for depositors’ crisis sentiment, and the higher this index becomes, the higher the depositors’ negative sentiment becomes, leading them to withdraw their bank deposits. Monetary poly authorities or macroprudential regulators could adapt our model to assess the resilience of a bank or the whole banking sector.

Keywords: Bank deposit flows, news headlines; sentiment; uncertainty; Greece. (search for similar items in EconPapers)
JEL-codes: C22 C5 C51 G0 G02 G2 G20 G21 (search for similar items in EconPapers)
Date: 2021-05
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (5)

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Journal Article: On the Construction of a Leading Indicator Based on News Headlines for Predicting Greek Deposit Outflows (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:107602

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