57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?

48 Pages Posted: 21 Feb 2019

See all articles by Julia Wolfinger

Julia Wolfinger

Walter Eucken Institute

Lars P. Feld

Walter Eucken Institute; University of Freiburg - College of Economics and Behavioral Sciences; CESifo (Center for Economic Studies and Ifo Institute)

Ekkehard A. Koehler

University of Siegen - Department of Economics; Walter Eucken Institute; University of Freiburg - College of Economics and Behavioral Sciences

Tobias Thomas

EcoAustria

Date Written: 2018

Abstract

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield spreads using daily data between January 1, 2007 and December 1, 2016. We employ 1,542,233 human coded news items from evening news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news has a positive tonality. This hints at the effectiveness of political communication through the media by European institutions and in particular the European Central Bank (ECB). In conjunction with the tonality of the news, we find that country-specific news have a significant impact on GIIPS yield spreads. A higher share of positive/negative news is positively associated with a decrease/increase of the GIIPS yield spreads vis-à-vis Germany. Moreover, some news is not immediately and completely priced in by market participants when it is released. In addition, this peculiar effect of country specific news is stronger when the respective news is aired on the North American media market.

Keywords: Eurozone, Euro, political communication, media coverage, yield spreads, dynamic macro panel, FGLS

JEL Classification: E580, G120, L800, N140

Suggested Citation

Wolfinger, Julia and Feld, Lars P. and Koehler, Ekkehard A. and Thomas, Tobias, 57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads? (2018). Available at SSRN: https://ssrn.com/abstract=3338791 or http://dx.doi.org/10.2139/ssrn.3338791

Julia Wolfinger (Contact Author)

Walter Eucken Institute ( email )

Goethestrasse 10
Freiburg im Breisgau, Baden-W├╝rttemberg D-79100
Germany

Lars P. Feld

Walter Eucken Institute ( email )

Goethestrasse 10
Freiburg im Breisgau, Baden-W├╝rttemberg D-79100
Germany

University of Freiburg - College of Economics and Behavioral Sciences ( email )

Freiburg, D-79085
Germany

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Ekkehard A. Koehler

University of Siegen - Department of Economics ( email )

Department of Economics
Hoelderlinstr. 3
Siegen, 57068
Germany

Walter Eucken Institute ( email )

Goethestrasse 10
Freiburg, 79100
Germany

University of Freiburg - College of Economics and Behavioral Sciences ( email )

Freiburg, D-79085
Germany

Tobias Thomas

EcoAustria ( email )

Institute for Economics Research
Vienna, 1030
Austria

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