Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296069 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 10980
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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.
Subjects: 
media coverage
TV newscast
tonality
Eurozone crisis
GIIPS bond yield spreads
JEL: 
E58
G12
L82
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.