Stress in the Press or Stress in the Market: A New Measure of Perceived

Staff analytical paper 2026-50 (English) Brett Barnes, Thibaut Duprey, Fred Liu October 2026 Available as: PDF

We develop a news-based measure of perceived financial stress for Canada using more than 900,000 business and economic news articles from 1977 to 2026. Using a data-driven keyword discovery algorithm, we construct an interpretable News-based Stress Index (NSI) that tracks major stress episodes and captures periods when concerns about financial risks intensify despite limited market disruption. Using linear and quantile-augmented VARs, we show that news shocks orthogonal to financial shocks primarily reduce unsecured consumer credit by shifting its entire distribution, whereas market-based financial shocks primarily worsen downside risks to both credit and real activity. This highlights perceived financial stress as a distinct transmission channel operating through household precautionary behavior.

Content Type(s): Staff research, Staff analytical paper JEL Code(s): C, C5, C55, C8, C82, E, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Econometric, statistical and computational methods

DOI: https://doi.org/10.34989/sap-2026-50