News-Based Sentiment Indicators

57 Pages Posted: 22 Jan 2020

See all articles by Chengyu Huang

Chengyu Huang

International Monetary Fund (IMF)

Sean Simpson

International Monetary Fund (IMF)

Daria Ulybina

International Monetary Fund (IMF)

Agustin Roitman

International Monetary Fund (IMF)

Date Written: December 2019

Abstract

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.

Keywords: Balance sheets, Financial crises, Business cycles, Banking crisis, Currency crises, early warning indicators, risk, crisis, sentiment, WP, EWS, negative sentiment, financial news, true positive, pos

JEL Classification: E37, E44, E66, F30, D80, G21, E01, E32, M41, C43

Suggested Citation

Huang, Chengyu and Simpson, Sean and Ulybina, Daria and Roitman, Agustin, News-Based Sentiment Indicators (December 2019). IMF Working Paper No. 19/273. Available at SSRN: https://ssrn.com/abstract=3523146

Chengyu Huang (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Sean Simpson

International Monetary Fund (IMF)

700 19th Street, N.W.
Washington, DC 20431
United States

Daria Ulybina

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Agustin Roitman

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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