Joint Econometrics-Finance Lunch Seminar: Daniel Borup, AU

Title: The role of narratives in the real economy and financial markets: Quantitative evidence from COVID-19

2020.08.27 | Pernille Vorsø Jachobsen

Date Tue 03 Nov
Time 12:05 12:35
Location Online

Presenter: Daniel Borup , AU

Title:  The role of narratives in the real economy and financial markets: Quantitative evidence from COVID-19

Abstract: “We provide quantitative evidence that economic narratives are firmly integrated within the real economy and financial markets. To that end, we identify and retrieve the most salient COVID-19 narratives from daily open-ended questionnaires presented to US stockholders prior to, during, and after the first epidemic wave (February through June 2020), totalling a 2,076 survey responses. We elicit fifteen narratives (e.g. fear, world lockdown, stimulus payment,  and back to normal) using textual analysis from the survey responses and quantify their propagation and prevalence over time with individual time series. We include those narrative series in a large daily network of macro-financial variables, revealing that (i) narratives are significantly connected to the real economy and financial markets, and that (ii) narratives are bi-directional by equally impacting and themselves being shaped by the real economy and financial markets.”

 

The 'Accounting and Finance' and 'Econometrics and Business Statistics' Sections arrange lunch seminars on a regular basis. The speakers are usually section members, mostly PhD students and postdocs. The speakers can also be visiting PhD students or professors. Each lunch seminar is followed by a discussion of the paper presented.

Organizer: Daniel Borup

Joint Econometrics-Finance Lunch Seminars