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• W3199810150 startingPage "145" @default.
• W3199810150 abstract "This study analyzes the connectedness effect among the News Headlines Sentiment Index (SI), Infectious Disease Equity Market Volatility Tracker (IDEMV), financial markets (financial stress (FS), crude oil future prices (WTI)), and macroeconomic indicators (economic index (WEI), 1-Month Treasury Constant Maturity rate (R)) for returns and volatility in the US. We employ a mixed approach consisting of the Diebold-Yilmaz framework in static analysis and time-varying parameter vector autoregressive (TVP-VAR) model in dynamic analysis. The most noteworthy findings of this study are that there is a strong interdependence between SI, IDEMV, and WEI, and that SI and IDEMV have greater contributions to WEI compared to its impact on FS, R, and WTI for the return system, but not for volatility." @default.
• W3199810150 created "2021-09-27" @default.
• W3199810150 creator A5007913012 @default.
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• W3199810150 date "2021-11-01" @default.
• W3199810150 modified "2023-10-03" @default.
• W3199810150 title "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach" @default.
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• W3199810150 doi "https://doi.org/10.1016/j.qref.2021.08.003" @default.
• W3199810150 hasPublicationYear "2021" @default.
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