Systemic risk remains a key concern for financial authorities, especially in emerging economies where traditional, low-frequency balance sheet indicators often lag rapidly changing market conditions. This study develops a high-frequency Systemic Risk Sentiment Index (SRSI) for the Philippines using news headlines from 2011 to 2025 and an ensemble of domain-specific financial sentiment models. Results show that negative sentiment is mainly driven by external-sector developments, market volatility, and equity-related news, with surges aligning with global and domestic stress episodes. Event study analysis demonstrates that the SRSI captures sharp deteriorations in sentiment several weeks before major financial stress events, while Granger causality results indicate modest predictive power for domestic equity market movements. Overall, the SRSI is best viewed as a responsive, real-time barometer that complements conventional systemic risk measures. This study represents one of the initial efforts to construct a sentiment-based systemic risk indicator tailored to the Philippine financial system and offers a scalable, low-cost framework that other central banks may adopt to enhance real-time macro-financial surveillance.
Lizelle Ann V. Cruz (Wed,) studied this question.