We perform principal components analyses of the University of Michigan Index of Consumer Sentiment and TV sentiment in order to gain information on their structure and information content. By introducing the new sentiment variable TV sentiment, gathered from sentiment from statements from over...

We examine the information content of a newly created news sentiment index from over 300,000 articles from some of the most widely read newspapers in the US to explain changes in the University of Michigan Index of Consumer Sentiment from 1995 to 2009. Using ARMA-models, we show that consumer...