Do Google Trends Help to Forecast Sovereign Risk in Europe?

The aim of this paper is to analyze whether internet activity, as measured through Google data, influences the evolution of sovereign bond yields. For this purpose, we focus on ten European countries. We run VAR models and Granger causality tests between the Google Search Volume Index (GSVI) and sovereign risk. The VAR models and the causality tests for five core and five peripheral countries suggest that in the latter, especially Greece, Google data have had the highest positive impact on sovereign yields