Laura Sénécal*, Rosnel Sessinou
Anushka Chawla: anushka.chawla[at]univ-amu.fr
Laura Sénécal: laura.senecal[at]univ-amu.fr
Carolina Ulloa Suarez: carolina.ulloa-suarez[at]univ-amu.fr
*In this paper, we investigate the link between political climate and the pricing of sovereign debt. In order to proxy political climate, we extract public sentiment from tweets mentioning the Italian government from January 2010 to December 2017 using a dictionary-based approach. We find that positive change in Italy's political climate predicts decreases in the Italian 10-year sovereign bond spread, thereby showing that political climate provides additional predictive power beyond the traditional determinants of sovereign bond spreads.