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dc.contributorFacultad de Ciencias Economicas y Empresarialeses_ES
dc.contributor.authorGonzález Fernández, Marcos 
dc.contributor.authorGonzález Velasco, María del Carmen 
dc.contributor.otherEconomia Financiera y Contabilidades_ES
dc.date2020
dc.date.accessioned2024-06-12T13:15:29Z
dc.date.available2024-06-12T13:15:29Z
dc.identifier.citationGonzález-Fernández, M., y González-Velasco, C. (2020). A sentiment index to measure sovereign risk using Google data. International Review of Economics & Finance, 69, 406–418. https://doi.org/10.1016/J.IREF.2020.05.011es_ES
dc.identifier.issn1059-0560
dc.identifier.otherhttps://www.sciencedirect.com/science/article/pii/S1059056020301027?via%3Dihubes_ES
dc.identifier.urihttps://hdl.handle.net/10612/21345
dc.description.abstract[EN] The aim of this paper is to construct an index that reflects investor sentiment regarding sovereign debt markets and to analyze this index to predict the evolution of sovereign risk. This Google Sovereign-Risk Sentiment Index (GSSI) is constructed by aggregating Google search data for a set of keywords related to the sovereign debt crisis that took place in Europe. The results indicate that the GSSI shows a high correlation with other sovereign risk indexes. Moreover, we analyze through panel data regressions its relationship with sovereign Credit Default Swaps (CDSs) for a set of European countries in the period 2008–2017. We determine that the GSSI shows the expected positive relationship with sovereign risk, especially in peripheral countries and during the period of maximum financial distress in sovereign debt markets. Our findings contribute to the investor sentiment literature and provide a novel measure of sovereign risk. These results suggest several implications for public authorities and regulators.es_ES
dc.languageenges_ES
dc.publisherElsevieres_ES
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectFinanzases_ES
dc.subject.otherSovereign riskes_ES
dc.subject.otherGoogle dataes_ES
dc.subject.otherInternet activityes_ES
dc.subject.otherInvestor sentimentes_ES
dc.subject.otherSovereign debt crisises_ES
dc.titleA sentiment index to measure sovereign risk using Google dataes_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.identifier.doi10.1016/J.IREF.2020.05.011
dc.description.peerreviewedSIes_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/ Programa Estatal de Fomento de la Investigación Científica y Técnica de Excelencia/ ECO2017–89715-P/ES/ ANALISIS DEL RIESGO EN LOS MERCADOS FINANCIEROSes_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES
dc.journal.titleInternational Review of Economics & Financees_ES
dc.volume.number69es_ES
dc.page.initial406es_ES
dc.page.final418es_ES
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersiones_ES
dc.description.projectThis work was supported by the Ministerio de Economía, Industria y Competitividad, Gobierno de España [research project number ECO2017-89715-P, entitled “El Análisis del Riesgo en los Mercados Financieros”].es_ES


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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
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