We propose a novel method to extract information on macro fundamentals based on regular expressions and compare its performance vis-a-vis two popular alternatives in the current finance literature based on predefined dictionaries and supervised learning techniques. We create news indices about...

This paper studies the global, regional, and country-specific components of four key financial market indicators: sovereign CDS spreads, equity indices, exchange rates, and EMBI Global bond spreads. In all four markets, the results support the findings of the literature of a significant global...