Relationship between country risk volatility and indices based on unstructured information

Abstract: This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina’s country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One s...

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Autor principal:	Llada,Martín
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2021
Materias:	Macroeconomic forecasting natural language processing uncertainty country risk volatility
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862021000200175
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spelling	oai:scielo:S0718-528620210002001752021-11-17Relationship between country risk volatility and indices based on unstructured informationLlada,Martín Macroeconomic forecasting natural language processing uncertainty country risk volatility Abstract: This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina’s country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One standard deviation increment in the indicator that captures manifestations of pessimism is followed by an increment of approximately 0.2% in expected country risk volatility in the consecutive quarter. Out-of-sample exercises confirm that these non-traditional indicators allow for gains in forecast accuracy. These findings are robust to changes in the set of predictors, the specification of the model and the incorporation of new media content.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.48 n.2 20212021-07-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862021000200175en10.4067/S0718-52862021000200175
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Macroeconomic forecasting natural language processing uncertainty country risk volatility
spellingShingle	Macroeconomic forecasting natural language processing uncertainty country risk volatility Llada,Martín Relationship between country risk volatility and indices based on unstructured information
description	Abstract: This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina’s country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One standard deviation increment in the indicator that captures manifestations of pessimism is followed by an increment of approximately 0.2% in expected country risk volatility in the consecutive quarter. Out-of-sample exercises confirm that these non-traditional indicators allow for gains in forecast accuracy. These findings are robust to changes in the set of predictors, the specification of the model and the incorporation of new media content.
author	Llada,Martín
author_facet	Llada,Martín
author_sort	Llada,Martín
title	Relationship between country risk volatility and indices based on unstructured information
title_short	Relationship between country risk volatility and indices based on unstructured information
title_full	Relationship between country risk volatility and indices based on unstructured information
title_fullStr	Relationship between country risk volatility and indices based on unstructured information
title_full_unstemmed	Relationship between country risk volatility and indices based on unstructured information
title_sort	relationship between country risk volatility and indices based on unstructured information
publisher	Universidad de Chile. Departamento de Economía
publishDate	2021
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862021000200175
work_keys_str_mv	AT lladamartin relationshipbetweencountryriskvolatilityandindicesbasedonunstructuredinformation
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Relationship between country risk volatility and indices based on unstructured information

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