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Econometrics Meets Sentiment: An Overview Of Methodology And Applications

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  • Andres Algaba
  • David Ardia
  • Keven Bluteau
  • Samuel Borms
  • Kris Boudt

Abstract

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software.

Suggested Citation

  • Andres Algaba & David Ardia & Keven Bluteau & Samuel Borms & Kris Boudt, 2020. "Econometrics Meets Sentiment: An Overview Of Methodology And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 34(3), pages 512-547, July.
    • Handle: RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547
    DOI: 10.1111/joes.12370
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