News Sentiment and Cross-Country Fluctuations

18 Pages Posted: 11 Feb 2016 Last revised: 23 Feb 2016

See all articles by Samuel P. Fraiberger

Samuel P. Fraiberger

Computer Science; Harvard University - Institute for Quantitative Social Sciences; Northeastern University - Network Science Institute

Date Written: February 9, 2016

Abstract

What is the information content of news-based measures of sentiment? How are they related to economic fluctuations? I construct a sentiment index by measuring the net amount of positive expressions in the full corpus of Economic news articles produced by Reuters covering 12 countries over the period 1987-2013. The index successfully tracks fluctuations in GDP at the country level, is a leading indicator of GDP growth and contains information on future GDP growth which is not captured by consensus forecasts. This suggests that forecasters do not appropriately incorporate available information in predicting future states of the economy.

Keywords: Sentiment, News Analysis, Behavioral Macroeconomics and Finance

JEL Classification: E03, F37, D8

Suggested Citation

Fraiberger, Samuel P., News Sentiment and Cross-Country Fluctuations (February 9, 2016). Available at SSRN: https://ssrn.com/abstract=2730429 or http://dx.doi.org/10.2139/ssrn.2730429

Samuel P. Fraiberger (Contact Author)

Computer Science ( email )

60 5th Avenue
New York, NY 10012
United States

Harvard University - Institute for Quantitative Social Sciences ( email )

1737 Cambridge St
Cambridge, MA 02115
United States

Northeastern University - Network Science Institute ( email )

177 Huntington Avenue
Boston, MA 02115
United States

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