The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and...

We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to sentiment indices, with the VIX being the most significant net...

We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to sentiment indices, with the VIX being the most significant net...

This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The main findings are as follows. First, the estimated FCIs are influenced by a...