EconPapers    
Economics at your fingertips  
 

"Whatever it takes!": How tonality of TV-news affects government bond yield spreads during crises

Patrick Hirsch, Ekkehard Köhler (), Lars Feld () and Tobias Thomas ()

No 20/09, Freiburg Discussion Papers on Constitutional Economics from Walter Eucken Institut e.V.

Abstract: Are government bond risk premia affected by TV news in addition to the effect of the original event reported? We analyze 1,209,566 human-coded news items from newscasts aired by leading TV stations in Europe and the US between January 2007 and November 2016. We establish causality using instrumental variables that attract media attention and crowd out media coverage on Eurozone related news. We find FIFA and UEFA tournaments as well as major natural disasters and airplane crashes as valid instruments for the empirical analysis. The results show that an exogenous variation in the share of Eurozone related news affects bond spreads. A one percentage point increase in the share of Eurozone related news leads to -7.6 basis points lower bond spreads. Taking the tonality of the news into account paints a more differentiated picture: A one percent higher share of positive Eurozone related news leads to -69.7 basis points lower bond spreads, whereas a one percentage point higher share of negative country-specific news is related to 2.5 basis points higher bond spreads.

Keywords: Media bias; TV Newscasts; Tonality; Eurozone crisis; GIIPS bond yield spreads (search for similar items in EconPapers)
JEL-codes: E58 G12 L82 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-cul, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/229201/1/174489664X.pdf (application/pdf)

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:zbw:aluord:2009

Access Statistics for this paper

More papers in Freiburg Discussion Papers on Constitutional Economics from Walter Eucken Institut e.V. Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2021-10-27
Handle: RePEc:zbw:aluord:2009