A sentiment-based financial stress index for Russia

Borsa Istanbul Review. 2025. Vol. 25. No. 2. P. 350–359.

Stolbov M., Shchepeleva M.

We propose a sentiment-based financial stress index (S–FSI) for Russia from January 2018 to June 2024. The index is based on the intensity of internet searches in Russian via Google and Yandex for terms with negative connotations about financial stability. The terms in our index form a unique dictionary that captures both global and country-specific financial stress factors. The index shows the most significant increases at the onset of the COVID-19 pandemic and the Russian-Ukrainian conflict. Evidence suggests that our index precedes an alternative financial stress index for Russia based on conventional financial data and industrial production. The index also provides valuable insights not captured by existing non-financial sentiment indicators for Russia—economic policy uncertainty and geopolitical risk indices. Overall, our proposed novel index can effectively monitor financial stress in the Russian economy.

Keywords: sentiment, financial stress, Russia