Anatomy of sovereign yield behaviour using textual news
Journal article
Kumar Banerjee, Ameet, Pradhan, H.K., Akhtaruzzaman, Md, Sensoy, Ahmet and Dann, Susan Jean. (2024). Anatomy of sovereign yield behaviour using textual news. Research in International Business and Finance. 71, pp. 1-18. https://doi.org/10.1016/j.ribaf.2024.102458
Authors | Kumar Banerjee, Ameet, Pradhan, H.K., Akhtaruzzaman, Md, Sensoy, Ahmet and Dann, Susan Jean |
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Abstract | While the relationship between the information content of macroeconomic news and the behavior of asset prices has been studied extensively in the finance literature, this study provides a new perspective by examining the impact of textual news on sovereign bond yield spreads in an emerging country. This study used bond market news published in newspapers to develop the sentiment scores using a modified word dictionary to unravel news characteristics. A nonlinear regime-shifting regression model of Markov Regime Shifting (MRS) is used to understand the impact of news on sovereign bond yield spreads. The paper results show that textual news sentiment may explain both steepening and flattening of the yield curve, with monetary and fiscal policy news having the most significant impact on yield spread behaviour. The results hold key implications for policymakers, debt fund managers and other market participants. |
Keywords | yield spread ; sovereign bond; textual news ; macroeconomic news |
Year | 01 Jan 2024 |
Journal | Research in International Business and Finance |
Journal citation | 71, pp. 1-18 |
Publisher | Elsevier Inc. (USA) |
ISSN | 0275-5319 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.ribaf.2024.102458 |
Web address (URL) | https://www.sciencedirect.com/science/article/pii/S0275531924002514?via=ihub |
Open access | Published as non-open access |
Research or scholarly | Research |
Page range | 1-18 |
Publisher's version | |
Output status | Published |
Publication dates | |
Online | 22 Jun 2024 |
Publication process dates | |
Accepted | 15 Jun 2024 |
Deposited | 25 Jul 2024 |
Additional information | © 2024 Elsevier B.V. All rights are reserved, including those for text and data mining, AI training, and similar technologies |
Place of publication | United States |
https://acuresearchbank.acu.edu.au/item/90vqw/anatomy-of-sovereign-yield-behaviour-using-textual-news
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