RT info:eu-repo/semantics/article
T1 A sentiment index to measure sovereign risk using Google data
A1 González Fernández, Marcos
A1 González Velasco, María del Carmen
A2 Economia Financiera y Contabilidad
K1 Finanzas
K1 Sovereign risk
K1 Google data
K1 Internet activity
K1 Investor sentiment
K1 Sovereign debt crisis
AB [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.
PB Elsevier
SN 1059-0560
LK https://hdl.handle.net/10612/21345
UL https://hdl.handle.net/10612/21345
NO González-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.2020.05.011
DS BULERIA. Repositorio Institucional de la Universidad de León
RD 26-jun-2024