Laura Sénécal

phd seminar

Laura Sénécal

AMSE
Political sentiment and the pricing of sovereign debt: the case of Italy
Joint with
Rémi Vivès
Venue

IBD Salle 16

Îlot Bernard du Bois - Salle 16

AMU - AMSE
5-9 boulevard Maurice Bourdet
13001 Marseille

Date(s)
Tuesday, April 16 2019| 12:30pm to 1:15pm
Contact(s)

Océane Piétri: oceane.pietri[at]univ-amu.fr
Morgan Raux: morgan.raux[at]univ-amu.fr
Laura Sénécal: laura.senecal[at]univ-amu.fr

Abstract

In this paper, we investigate the link between political sentiment and sovereign bond spreads. In order to proxy political sentiment, we extract public sentiment about the Italian government from Twitter data from January 2010 to December 2017. We compute sentiment based on the tonality of the tweets using a dictionary-based approach. We find that positive changes in public sentiment about Italy’s government predict decreases in the Italian sovereign spreads. We also show that this sentiment is linked to emotions such as fear and trust.