Paper Info
Title
Analysis of the Macroeconomic Uncertainty Based on the News-based Textual Data with Financial Market.
Abstract
The uncertainty in the financial market, whether US-China trade war will slow down global economy or not, Federal Reserve Board (FRB) policy to increase the interest rates, or other similar macroeconomic events can have a crucial impact on the purchase or sale of financial assets. In this study, we aim to build a model for measuring the macroeconomic uncertainty based on the news text. Further, we proposed an extended topic model which uses not only news text data but also numeric data as a supervised signal for each news article. Subsequently, we used our proposed model to construct four macroeconomic uncertainty indices. All these indices were similar to those observed in the historical macroeconomic events, and the correlation was higher with the volatility of the market index with respect to the uncertainty index. We also applied the impulse response function to analyze the impact of the uncertainty indices on financial markets.
Year
DOI
Venue
2019
10.1109/IIAI-AAI.2019.00137
IIAI-AAI
Field
DocType
Citations 
Impulse response,Trade war,Economics,Financial economics,Stock market index,Interest rate,Topic model,Financial market,Volatility (finance)
Conference
0
PageRank 
References 
Authors
0.34
0
5
Name
Order
Citations
PageRank
Kyoto Yono100.34
Kiyoshi Izumi212737.12
Hiroki Sakaji33017.97
Hiroyasu Matsushima412.39
Takashi Shimada500.68