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