AUTHOR=Schwendner Peter , Schüle Martin , Hillebrand Martin TITLE=Sentiment Analysis of European Bonds 2016–2018 JOURNAL=Frontiers in Artificial Intelligence VOLUME=2 YEAR=2019 URL=https://www.frontiersin.org/journals/artificial-intelligence/articles/10.3389/frai.2019.00020 DOI=10.3389/frai.2019.00020 ISSN=2624-8212 ABSTRACT=

We revisit the discussion of market sentiment in European sovereign bonds using a correlation analysis toolkit based on influence networks and hierarchical clustering. We focus on three case studies of political interest. In the case of the 2016 Brexit referendum, the market showed negative correlations between core and periphery only in the week before the referendum. Before the French presidential elections in 2017, the French bond spread widened together with the estimated Le Pen election probability, but the position of French bonds in the correlation blocks did not weaken. In summer 2018, during the budget negotiations within the new Italian coalition, the Italian bonds reacted very sensitively to changing political messages but did not show contagion risk to Spain or Portugal for several months. The situation changed during the week from October 22 to 26, as a spillover pattern of negative sentiment also to the other peripheral countries emerged.