The CoRisk-Index: Measuring economic risks related to COVID-19 in real time

Abstract

The global spread of Covid-19 has caused major economic disruptions. Governments around the world provide considerable financial support to mitigate the economic downturn. However, effective policy responses require reliable data on the economic consequences of the corona pandemic. We propose the CoRisk-Index: a real-time economic indicator of Covid-19 related risk assessments by industry. Using data mining, we analyse all reports from US companies filed since January 2020, representing more than a third of all US employees. We construct two measures - the number of 'corona' words in each report and the average text negativity of the sentences mentioning corona in each industry - that are aggregated in the CoRisk-Index. The index correlates with U.S. unemployment data and preempts stock market losses of February 2020. Moreover, thanks to topic modelling and natural language processing techniques, the CoRisk data provides unique granularity with regards to the particular contexts of the crisis and the concerns of individual industries about them. The data presented here help researchers and decision makers to measure, the previously unobserved, risk awareness of industries with regard to Covid-19, bridging the quantification gap between highly volatile stock market dynamics and long-term macro-economic figures. For immediate access to the data, we provide all findings and raw data on an interactive online dashboard in real time.