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On the Construction of a Leading Indicator Based on News Headlines for Predicting Greek Deposit Outflows

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  • Anastasiou, Dimitrios
  • Petralias, Athanassios

Abstract

The purpose of this study is twofold. First, construct a leading indicator based on news headlines, and second, examine whether this novel indicator affects Greek bank deposit flows’ trajectory. Employing alternative econometric methodologies, we find that this index proxies for depositors’ crisis sentiment, and the higher this index becomes, the higher the depositors’ negative sentiment becomes, leading them to withdraw their bank deposits. Monetary poly authorities or macroprudential regulators could adapt our model to assess the resilience of a bank or the whole banking sector.

Suggested Citation

  • Anastasiou, Dimitrios & Petralias, Athanassios, 2021. "On the Construction of a Leading Indicator Based on News Headlines for Predicting Greek Deposit Outflows," MPRA Paper 107602, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:107602
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    References listed on IDEAS

    as
    1. Fecht, Falko & Thum, Stefan & Weber, Patrick, 2019. "Fear, deposit insurance schemes, and deposit reallocation in the German banking system," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 151-165.
    2. Anastasiou, Dimitrios & Katsafados, Apostolos G., 2020. "Bank Deposits Flows and Textual Sentiment: When an ECB President's speech is not just a speech," MPRA Paper 99729, University Library of Munich, Germany.
    3. Anastasiou, Dimitrios & Drakos, Konstantinos, 2021. "European depositors’ behavior and crisis sentiment," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 117-136.
    4. Anastasios Petropoulos & Nikolaos E. Vlachogiannakis & Dionysios Mylonas, 2018. "Forecasting private sector bank deposits in Greece: determinants for trend and shock effects," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 9(2), pages 141-169.
    5. Dimitrios Anastasiou & Zacharias Bragoudakis & Ioannis Malandrakis, 2019. "Non-performing loans, governance indicators and systemic liquidity risk: evidence from Greece," Working Papers 260, Bank of Greece.
    6. Dimitrios Anastasiou & Konstantinos Drakos, 2021. "Nowcasting the Greek (semi‐) deposit run: Hidden uncertainty about the future currency in a Google search," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1133-1150, January.
    7. Asli Demirgüç-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
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    Cited by:

    1. Fang, Yi & Wang, Qi & Wang, Yanru & Yuan, Yan, 2024. "Media sentiment, deposit stability and bank systemic risk: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 1150-1172.
    2. Anastasiou, Dimitris & Ftiti, Zied & Louhichi, Waël & Tsouknidis, Dimitris, 2023. "Household deposits and consumer sentiment expectations: Evidence from Eurozone," Journal of International Money and Finance, Elsevier, vol. 131(C).
    3. Dimitris Anastasiou & Apostolos Katsafados, 2023. "Bank deposits and textual sentiment: When an European Central Bank president's speech is not just a speech," Manchester School, University of Manchester, vol. 91(1), pages 55-87, January.
    4. Apostolos G. Katsafados & Dimitris Anastasiou, 2024. "Short-term prediction of bank deposit flows: do textual features matter?," Annals of Operations Research, Springer, vol. 338(2), pages 947-972, July.

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    More about this item

    Keywords

    Bank deposit flows; news headlines; sentiment; uncertainty; Greece.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G0 - Financial Economics - - General
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G2 - Financial Economics - - Financial Institutions and Services
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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