eprintid: 10149670
rev_number: 9
eprint_status: archive
userid: 699
dir: disk0/10/14/96/70
datestamp: 2022-06-07 11:22:46
lastmod: 2022-11-07 14:22:54
status_changed: 2022-11-07 14:22:54
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Kabiri, A
creators_name: James, H
creators_name: Landon-Lane, J
creators_name: Tuckett, D
creators_name: Nyman, R
title: The role of sentiment in the US economy: 1920 to 1934
ispublished: inpress
divisions: C07
divisions: F66
divisions: B02
divisions: UCL
divisions: D05
keywords: Algorithmic text analysis, business sentiment, Great Depression, US
interwar economy
note: © 2022 The Authors. The Economic History Review published by John Wiley & Sons Ltd on behalf of Economic History Society.

This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
abstract: This paper investigates the role of sentiment in the US economy from 1920 to 1934 using digitised articles from The Wall Street Journal. We derive a monthly sentiment index and use a 10-variable vector error correction model to identify sentiment shocks that are orthogonal to fundamentals. We show the timing and strength of these shocks and their resultant effects on the economy using historical decompositions. Intermittent impacts of up to 15 per cent on industrial production, 10 per cent on the S&P 500 and bank loans, and 37 basis points for the credit risk spread suggest a large role for sentiment.
date: 2022-04-25
date_type: published
publisher: Wiley
official_url: https://doi.org/10.1111/ehr.13160
oa_status: green
full_text_type: pub
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 1956846
doi: 10.1111/ehr.13160
lyricists_name: Tuckett, David
lyricists_id: DATUC82
actors_name: Tuckett, David
actors_id: DATUC82
actors_role: owner
full_text_status: public
publication: Economic History Review
citation:        Kabiri, A;    James, H;    Landon-Lane, J;    Tuckett, D;    Nyman, R;      (2022)    The role of sentiment in the US economy: 1920 to 1934.                   Economic History Review        10.1111/ehr.13160 <https://doi.org/10.1111/ehr.13160>.    (In press).    Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10149670/1/The%20Economic%20History%20Review%20-%202022%20-%20Kabiri%20-%20The%20role%20of%20sentiment%20in%20the%20US%20economy%20%201920%20to%201934.pdf