Cover IMF Working Papers
News-based Sentiment Indicators
Author:
Chengyu Huangnull

Search for other papers by Chengyu Huang in
Current site
Google Scholar
PubMedClose
,
Sean Simpsonnull

Search for other papers by Sean Simpson in
Current site
Google Scholar
PubMedClose
,
Daria Ulybinanull

Search for other papers by Daria Ulybina in
Current site
Google Scholar
PubMedClose
, and
Agustin Roitmannull

Search for other papers by Agustin Roitman in
Current site
Google Scholar
PubMedClose
Series:
IMF Working Papers
Volume/Issue:
Volume 2019: Issue 273
Language:
English
Publication Date:
06 Dec 2019
DOI:
https://doi.org/10.5089/9781513518374.001
ISBN:
9781513518374
ISSN:
1018-5941
Pages:
56
Keywords:
WP; sentiment index; crisis sentiment; seed words; sentiment indices; term cluster; word vector representation; word-vector models; early warning indicators; risk; crisis; sentiment; financial crises; vector representation; Early warning systems; Hedging; Banking crises; Global financial crisis of 2008-2009; Global
Legal-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.
Download PDF (3.3 MB) Download Epub
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.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2019: Issue 273