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dc.contributor | Facultad de Ciencias Economicas y Empresariales | es_ES |
dc.contributor.author | González Fernández, Marcos | |
dc.contributor.author | González Velasco, María del Carmen | |
dc.contributor.other | Economia Financiera y Contabilidad | es_ES |
dc.date | 2020-07-15 | |
dc.date.accessioned | 2021-05-17T08:35:12Z | |
dc.date.available | 2021-05-17T08:35:12Z | |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | http://hdl.handle.net/10612/13184 | |
dc.description | 6 p. | es_ES |
dc.description.abstract | The aim of this paper is to construct an alternative approach based on a sentiment index to measure bank credit risk in European countries using an alternative approach instead of traditional measures. Specifically, we use Google data for a set of keywords related to bank credit risk to capture investor sentiment. The resulting index shows a great similarity to traditional indexes based on bank CDS. The out-of-sample analysis demonstrates that our sentiment index is helpful for predicting bank credit risk during periods of financial distress, since it enhances the accuracy of the estimations. | es_ES |
dc.language | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.subject | Finanzas | es_ES |
dc.subject.other | Sentiment index | es_ES |
dc.subject.other | Google data | es_ES |
dc.subject.other | Credit risk | es_ES |
dc.subject.other | Credit default swaps | es_ES |
dc.subject.other | Europa | es_ES |
dc.title | An alternative approach to predicting bank credit risk in Europe with Google data | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.identifier.doi | 10.1016/j.frl.2019.08.029 | |
dc.description.peerreviewed | SI | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es_ES |
dc.journal.title | Finance Research Letters | es_ES |
dc.volume.number | 35 | es_ES |
dc.page.initial | 101281 | es_ES |
dc.type.hasVersion | info:eu-repo/semantics/acceptedVersion | es_ES |
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