Narrative Data from Investment Banks

As part of our paper, "Do Deficits Cause Inflation? A High Frequency Narrative Approach" (with Stephan Hobler), we collected reports from 20 investment banks. Using the narrative data in these reports, we are able to construct a measure of markets' expectations of shocks to deficits around a major election.

More generally, these reports can be used to measure markets' expectations around many market-moving events (e.g. elections, data releases, monetary announcements). These reports must be hand collected by contacting individual investment banks. Please contact me (j.hazell@lse.ac.uk) for further information on how to access these reports and what they can be used for.