Fernandez, Raul; Palma Guizar, Brenda; Rho, Caterina - In: Latin American journal of central banking : LAJCB 2 (2021) 3, pp. 1-27
We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in … Mexico. We classify a sample of tweets from 2006-2019 to identify messages in response to a positive or negative shock to the … that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk …