Measuring news sentiment

DOI10.1016/J.JECONOM.2020.07.053MaRDI QIDQ2673174zbMATH OpenOpenAlexFDO

Authors Adam Hale Shapiro, Moritz Sudhof, Daniel J. Wilson

Publication date 9 June 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.frbsf.org/economic-research/files/wp2017-01.pdf

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• From frequency to meaning: vector space models of semantics
• Sentiments
• Sentiments and aggregate demand fluctuations
• Transparency and deliberation within the FOMC: a computational linguistics approach

Cited in

(10)

• Words speak as loudly as actions: central bank communication and the response of equity prices to macroeconomic announcements
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Extrapolative asset pricing
• Forecasting with Economic News
• Forecasting inflation using sentiment
• Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
• Beyond pure hype: news sentiment and its role in the BTC and ETH futures market
• Agree to disagree: measuring hidden dissent in FOMC meetings
• The role of news-based sentiment in forecasting crude oil price during the Covid-19 pandemic
• Interpretable machine learning models for ESG stock prices under transition and physical climate risk

Describes a project that uses

Uses Software

• GloVe
• VADER
• grplasso
• BERT

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