IIF Panel “New Methods for Old Questions”.

Big Data at BBVA Research

Alvaro Ortiz, PhD October 2017, IIF Annual Meetings Washington DC

IIF Panel “ New Methods for Old Questions”

2

Big Data allows us to use massive new flows of data (numbers, text &

images…) on real time to traditional and new ways of research

Massive Flows

of New Data

On Real

Time

New Potential:

Texts & Images

Political, Geopolitical Social Indexes (Political Indexs)

Politics & Financial Networks (Political Netwoks)

Mix Hard data & Sentiment & VAR models (Vulnerability and Risks Index Models)

Geographical Analysis Housing Prices (sentiment on Housing Prices)

Monetary & Stability tones by Central Banks

Measuring Sentiments, Narratives on News (sentiment Analysis on Economy and Society News)

(sentiment Analysis on Central Bank texts) High

Definition

IIF Panel “ New Methods for Old Questions”

The new technologies allow us to measure Conflicts and Social

Unrest more timely and to analyze similar periods in the past

3

BBVA Research World Protest Index 1979-2017 World Protest Intensity Map 1979- 2017

Source: www.gdelt.org & BBVA Research

Note: more information and technical details in the following link.

IIF Panel “ New Methods for Old Questions”

In a very granular way…

4

BBVA Research World Protest Intensity Map Jan 2011 – September 2017

BBVA Research Middle East Conflict Map 2017 USA

UK

Norway

Sweden

Austria

Germany

France

Netherlands

Italy

Spain

Belgium

Ireland

Portugal

Greece

Bosnia

Montenegro

Hungary

Bulgaria

Romania

Croatia

Turkey

Russia

Ukraine

Georgia

Kazakhstan

Moldova

Azerbaijan

Armenia

Morocco

Algeria

Tunisia

Libya

Egypt

Israel

Jordan

Syria

Iraq

Iran

UAE

Yemen

Bahrain

Qatar

Oman

Saudi Arabia

Mexico

Brazil

Chile

Colombia

Peru

Argentina

Venezuela

China

Hong Kong

Korea

Thailand

Indonesia

Malaysia

Philippines

India

Pakistan

Afghanistan

Asi

a

2016

N.

Afr

ica

& M

idd

le E

ast

Dev

elo

ped

Mar

kets

LAT

AM

2015

EM E

uro

pe

& C

IS

2011 2012 2013 2014 2017

Protest Intensity: Low HighSource: www.gdelt.org & BBVA Research

Source: www.gdelt.org & BBVA Research

IIF Panel “ New Methods for Old Questions”

… from the origin and destiny of massive flows of migrants to

Europe… to how fast a conflict can erupt in North Korea to critical levels

5 Source: www.gdelt.org & BBVA Research

BBVA Research Refugees Flows Map 2015-17 Number of media citations about refugees’ inflows and outflows

BBVA Research Asia Conflict Index 2008-17

IIF Panel “ New Methods for Old Questions”

Thanks to Big Data we can check in real time how is the

material and verbal support on World Trade…

6 6 Source: www.gdelt.org & BBVA Research

BBVA Research World Trade Support Index in real time (Tone & Coverage verbal cooperation at WTO)

19

95

19

96

19

97

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98

19

99

20

00

20

01

20

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Material Cooperation on Trade

6

Verbal Cooperation On Trade

19

95

19

96

19

97

19

98

19

99

20

00

20

01

20

02

20

03

20

04

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09

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Material cooperation

On trade was already declining…

… Before Verbal Sudden Stop

finally materialized…

IIF Panel “ New Methods for Old Questions”

-3.5

-3.0

-2.5

-2.0

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0.0

-2.0

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0.0

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2.0

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4.0

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6.0

7.0

8.0

Ma

y-1

5

Jul-1

5

Sep-1

5

No

v-1

5

Jan-1

6

Ma

r-1

6

Ma

y-1

6

Jul-1

6

Sep-1

6

No

v-1

6

Jan-1

7

Ma

r-1

7

Ma

y-1

7

BBVA Monthly GDP Indicator

Economic Sentiment (English Media)

Or measuring Economic Sentiment according to news and

checking “biases” on local and foreign media…

7

Turkey GDP & Economic Sentiment (%YoY and English written Economic Sentiment)

Turkey GDP & Economic Sentiment (%YoY and Turkish written Economic Sentiment)

-1.2

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2.0

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Ma

y-1

5

Jul-1

5

Sep-1

5

No

v-1

5

Jan-1

6

Ma

r-1

6

Ma

y-1

6

Jul-1

6

Sep-1

6

No

v-1

6

Jan-1

7

Ma

r-1

7

Ma

y-1

7

BBVA Monthly GDP Indicator

Economic Sentiment (Turkish Media)

Source: www.gdelt.org & BBVA Research

IIF Panel “ New Methods for Old Questions”

… Perceptions and “narratives” are important for Business

cycle sentiment but also for Risks

8

BBVA Chinese Vulnerability Sentiment Index (CSVI) (Evolution of the “Tone” of main followed themes about vulnerability in China. Lower values indicate a deterioration of sentiment and higher vulnerability)

De

clin

ing

Se

ntim

en

t

(Hig

he

r Vu

lne

rab

ility)

Imp

rovin

g S

en

time

nt

(Lo

we

r Vu

lne

rab

ility)

-3

-2

-1

0

1

2

3

Ma

r-1

5

Apr-

15

Ma

y-1

5

Jun-1

5

Jul-1

5

Aug-1

5

Sep-1

5

Oct-

15

No

v-1

5

De

c-1

5

Jan-1

6

Feb

-16

Ma

r-1

6

Apr-

16

Ma

y-1

6

Jun-1

6

Jul-1

6

Aug-1

6

Sep-1

6

Oct-

16

No

v-1

6

De

c-1

6

Jan-1

7

Feb

-17

Ma

r-1

7

Apr-

17

Ma

y-1

7

Jun-1

7

Jul-1

7

Aug-1

7

Sep-1

7

Stock Market Crash

"Black Monday"

stock market crash, trade halted for 3 day

PMI falls to 4-Y low

RMB enters IMF's SDR basket

NPC meeting

3% Devaluation

NPC Accepts Lower Growth Target

Neutral Area +- 1std

Extr

em

ely

Po

sitiv

e

Extr

em

ely

Neg

ative

Concerns over effectiveness of deleveraging campaign

Source: www.gdelt.org & BBVA Research

Note: more information and technical details in the following link.

IIF Panel “ New Methods for Old Questions”

We can learn from texts and wording of the Central Banks or

any official public & private report

9 9

Central Bank “Sentiment” on Economy ( Standarized, Big Data LDA Techniques applied to Minutes & statements) .

Central Bank Sentiment on Inflation ( Standarized, Big Data LDA Techniques applied to Minutes & statements)

Monetary Policy Sentiment ( Standarized, estimated though Big Data LDA Techniques from Minutes & Statements) Positive Sentiment

(economy Accelerating)

Positive Sentiment

(Accelerating Inflation Pressures)

Tightening

Easing

Source: BBVA Research

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1/1

/20

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7/1

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1/1

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7/1

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1/1

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7/1

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/1/2

011

6/1

/20

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12

/1/2

012

6/1

/20

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12

/1/2

013

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/20

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11

/1/2

014

6/1

/20

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12

/1/2

015

6/1

/20

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12

/1/2

016

7/1

/20

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October 2017, IIF Annual Meetings Washington DC

IIF Panel “New Methods for Old Questions”.

Big Data at BBVA Research

Alvaro Ortiz, PhD