“Whatever It Takes!” How tonality of TV-news affected government bond yield spreads during the European debt crisis

IF 2.3 3区 经济学 Q2 ECONOMICS
Patrick Hirsch , Lars P. Feld , Ekkehard A. Köhler , Tobias Thomas
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引用次数: 0

Abstract

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis-à-vis Germany from 2007 to 2016. We use a dataset of more than one million human-coded news items from leading newscasts worldwide to identify over 25,000 news on the Eurozone and country-specific economic topics. Our findings emphasize the relevance of the tonality of news, such that an increasing share of positive (negative) news correlates with a decrease (increase) in spreads. Content-based endogenous clustering of news highlights the importance of news about institutions providing stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables us to establish a causal link between country-specific news coverage and changes in spreads on the subsequent trading day.

"不惜一切代价在欧洲债务危机期间,电视新闻的调性如何影响政府债券收益率利差
除了重大事件的影响外,政府债券风险溢价是否也受到媒体的影响?我们重新审视了欧洲债务危机,分析了电视新闻在 2007 年至 2016 年期间 GIIPS 相对于德国的债券利差上升和重新收敛中的作用。我们利用全球主要新闻广播中超过 100 万条人工编码的新闻数据集,识别出超过 2.5 万条有关欧元区和特定国家经济主题的新闻。我们的研究结果强调了新闻色调的相关性,如正面(负面)新闻比例的增加与传播的减少(增加)相关。基于新闻内容的内生聚类凸显了有关向受困国家提供稳定和 "国际金融支持 "的机构的新闻在降低债券利差方面的重要性。此外,周末新闻使我们能够在特定国家的新闻报道与随后交易日的利差变化之间建立因果联系。
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来源期刊
CiteScore
3.40
自引率
10.00%
发文量
106
期刊介绍: The aim of the European Journal of Political Economy is to disseminate original theoretical and empirical research on economic phenomena within a scope that encompasses collective decision making, political behavior, and the role of institutions. Contributions are invited from the international community of researchers. Manuscripts must be published in English. Starting 2008, the European Journal of Political Economy is indexed in the Social Sciences Citation Index published by Thomson Scientific (formerly ISI).
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