Stress in the press or stress in the market : a new measure of perceived financial stress / Brett Barnes, Thibaut Duprey, Fred Liu.: FB3-8/2026-50E-PDF
"We develop a news-based measure of perceived financial stress for Canada using more than 900,000 business and economic news articles from 1977 to 2026. Using a data-driven keyword discovery algorithm, we construct an interpretable News-based Stress Index (NSI) that tracks major stress episodes and captures periods when concerns about financial risks intensify despite limited market disruption. Using linear and quantile-augmented VARs, we show that news shocks orthogonal to financial shocks primarily reduce unsecured consumer credit by shifting its entire distribution, whereas market-based financial shocks primarily worsen downside risks to both credit and real activity. This highlights perceived financial stress as a distinct transmission channel operating through household precautionary behavior"--Abstract.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.966919&sl=0
| Department/Agency |
|
|---|---|
| Title | Stress in the press or stress in the market : a new measure of perceived financial stress / Brett Barnes, Thibaut Duprey, Fred Liu. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | 1 online resource (58 pages) : colour illustrations. |
| Catalogue number |
|
| Subject terms |
|
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: