The role of sentiment in the US economy: 1920 to 1934
利用《华尔街日报》数字化文章构建月度情绪指数，通过向量误差修正模型识别与基本面无关的情绪冲击，发现其对工业生产、股市和信贷市场有显著影响。
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.