Program > Papers by speaker > Vivès Rémi

'Whatever it takes' to change belief: Evidence from Twitter
Rémi Vivès  1@  
1 : Aix-Marseille School of Economics  (AMSE)
Ecole Centrale Marseille (ECM), Ecole des Hautes Etudes en Sciences Sociales (EHESS), Centre national de la recherche scientifique (CNRS)
GREQAM, Centre de la Charité, 2 rue de la Charité, 13236 Marseille Cedex 02 -  France

The sovereign debt literature emphasizes the possibility of avoiding a self-fullling default if markets anticipate that the central bank will act as the lender of last resort. Motivated by the events of summer 2012 in the eurozone, this paper investigates the extent to which changes in belief about an intervention of the European Central Bank (ECB) explain the sudden reduction of government bond spreads for the distressed countries. To proxy belief, we study Twitter data from July to September 2012 and extract belief using machine learning techniques. We find evidence of strong increases in the perceived likelihood of ECB intervention, both from an aggregate and individual user perspective, and show that those increases explain subsequent decreases in the bond spreads of the distressed countries.


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