We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector … in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or … captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. Finally, we show …

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 …