Daily News Sentiment Index

The Daily News Sentiment Index is a high frequency measure of economic sentiment based on lexical analysis of economics-related news articles. The index is described in Buckman, Shapiro, Sudhof, and Wilson (2020) and based on the methodology developed in Shapiro, Sudhof, and Wilson (2020).

Based on the methodology described in Shapiro, Sudhof, and Wilson (2020, hereafter SSW), constructs sentiment scores are constructed from for economics-related news articles from 24 major U.S. newspapers compiled by the news aggregator service Factiva. The newspapers cover all major regions of the country, including some with extensive national coverage such as the New York Times and the Washington Post. SSW selected Articles used were those with at least 200 words where Factiva identified the article’s topic as “economics” and the country subject as “United States.” Combining publicly available lexicons with a news-specific lexicon constructed by the authors, the study develops a sentiment-scoring model tailored specifically for newspaper articles.

SSW aggregate the individual article scores into a daily time-series measure of news sentiment, relying on a statistical adjustment that accounts for changes over time in the composition of the sample across newspapers. The Daily News Sentiment Index is constructed as a trailing weighted-average of time series, with weights that decline geometrically with the length of time since article publication. The data here will be regularly updated at a weekly frequency.

References

Buckman, Shelby R., Adam Hale Shapiro, Moritz Sudhof, and Daniel J. Wilson. 2020. “News Sentiment in the Time of COVID-19.” FRBSF Economic Letter 2020-08 (April 6).

Shapiro, Adam Hale, Moritz Sudhof, and Daniel J. Wilson. 2020. “Measuring News Sentiment.” FRB San Francisco Working Paper 2017-01.

Download Data

Daily News Sentiment data (Excel document, 406 kb)

Replication code (Zip file 1.8 mb)