News-based Sentiment Indicators

Author/Editor:

Chengyu Huang ; Sean Simpson ; Daria Ulybina ; Agustin Roitman

Publication Date:

December 6, 2019

Electronic Access:

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

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.

Series:

Working Paper No. 19/273

Subject:

English

Publication Date:

December 6, 2019

ISBN/ISSN:

9781513518374/1018-5941

Stock No:

WPIEA2019273

Format:

Paper

Pages:

56

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