The role of sentiment in the US economy

1920 To 1934

Dados Bibliográficos

ID3384593
AutoresAli Kabiri (0000-0002-4684-0713, University of Buckingham and FMG London School of Economics and Political Science), H James (0009-0005-0239-6664, Princeton University), John Landon‐lane (Rutgers, the State University of New Jersey), D Tuckett (0000-0002-6275-2289, University College, London, Centre for the Study of Decision‐Making Uncertainty, autor correspondente), Rickard Nyman (University College, London, Centre for the Study of Decision‐Making Uncertainty)
Ano2023
Volume76
Fascículo1
Páginas3-30
Data de publicação2023-02-01
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoThe Economic History Review (JOURNAL)
Identificadores do periódicoISSN: 0013-0117 • E-ISSN: 1468-0289
EditoraWiley (PUBLISHER • GB)
DOI10.1111/ehr.13160
OpenAlexW4224443374
IdiomaEN
Citações recebidas2
Referências citadas38

This paper investigates the role of sentiment in the US economy from 1920 to 1934 using digitised articles from The Wall Street Journal. We derive a monthly sentiment index and use a 10-variable vector error correction model to identify sentiment shocks that are orthogonal to fundamentals. We show the timing and strength of these shocks and their resultant effects on the economy using historical decompositions. Intermittent impacts of up to 15 per cent on industrial production, 10 per cent on the S&P 500 and bank loans, and 37 basis points for the credit risk spread suggest a large role for sentiment

Basis (linear algebra) · Econometrics · Economics · Economy · Error correction model · Index (typography) · Industrial production · Industrial production index · Macroeconomics · Monetary economics · Production (economics) · Sentiment analysis · Variable (mathematics) · Artificial Intelligence · Computer Science · Italy: Economic History and Contemporary Issues · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact