The Daily News Sentiment Index is a high frequency measure of economic sentiment based on lexical analysis of economics-related news articles. The index is described in Buckman, Shapiro, Sudhof, and Wilson (2020) and based on the methodology developed in Shapiro, Sudhof, and Wilson (2020).
The study by Shapiro, Sudhof, and Wilson (2020, hereafter SSW), constructs sentiment scores for economics-related news articles from 16 major U.S. newspapers compiled by the news aggregator service LexisNexis. The newspapers cover all major regions of the country, including some with extensive national coverage such as the New York Times and the Washington Post. SSW selected articles with at least 200 words where LexisNexis identified the article’s topic as “economics” and the country subject as “United States.” Combining publicly available lexicons with a news-specific lexicon constructed by the authors, the study develops a sentiment-scoring model tailored specifically for...
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