Stress in the Press or Stress in the Market: A New Measure of Perceived Financial Stress

We develop a news-based measure of perceived financial stress for Canada using more than 900,000 business and economic news articles from 1977 to 2026. Using a data-driven keyword discovery algorithm, we construct an interpretable News-based Stress Index (NSI) that tracks major stress episodes and captures periods when concerns about financial risks intensify despite limited market disruption. Using linear and quantile-augmented VARs, we show that news shocks orthogonal to financial shocks primarily reduce unsecured consumer credit by shifting its entire distribution, whereas market-based financial shocks primarily worsen downside risks to both credit and real activity. This highlights perceived financial stress as a distinct transmission channel operating through household precautionary behavior.