Oil Market Shocks and Public Mood: Evidence from Daily Geotagged Twitter Sentiment

We examine whether and how structural oil market shocks affect expressed public mood. To this end, we combine the daily forward-looking demand, current demand, and supply shocks of Gazzani, Venditti, and Veronese (2024) with the Twitter Sentiment Geographical Index, a daily measure of expressed sentiment built from geotagged tweets, from January 2012 to June 2023. We estimate lag- augmented local projections for a world index, a panel of 126 countries, and, to assess the role of disaggregation, the United States at the country, state, and county levels. Sentiment does not react to any of the shocks on impact. The cumulative responses, however, reveal a gradual adjustment. Forward-looking demand shocks, which capture news about global growth prospects and risk appetite, raise sentiment persistently, with the response building up over about six months, and persisting for up to a year; the sign of this response, in turn, is stable across aggregation levels, samples, and inference methods. Oil supply shocks raise sentiment briefly in the world and U.S. series, after which their point estimates turn negative at horizons of seven to twelve months.