News Sentiment: A New Yield Curve Factor
News Sentiment: A New Yield Curve Factor
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新闻情绪：新的收益率曲线因素
DOI：
10.1080/15427560.2018.1432620
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Matthias W. Uhl
中科院分区：
文献类型：
--
作者：
N. Gotthelf;Matthias W. Uhl
作者表明，报纸文章中的情绪可以解释和预测美国政府债券期限结构的变动。这种影响在曲线的短端更强，与更大的波动性和投资者需要不断重新评估美联储的反应功能相吻合。面对这种不确定性，市场参与者依赖于新闻和情绪作为决策过程的核心因素。考虑到这种依赖性，作者提出了一个新的收益率曲线因子--新闻情绪--它不同于3个既定的收益率曲线因子（水平、斜率和曲率）以及基本宏观经济变量。
ABSTRACT The authors show that sentiments from newspaper articles can explain and predict movements in the term structure of U.S. government bonds. This effect is stronger at the short end of the curve, coinciding with greater volatility and investors' need to continually reassess the Fed's reaction function. Facing such uncertainty, market participants rely on news and sentiment as a central element in their decision-making process. Considering this dependence, the authors propose a new yield curve factor—news sentiment—that is distinct from the 3 established yield curve factors (level, slope, and curvature) as well as from fundamental macroeconomic variables.