The recent surge in the yield spreads within the Euro area has fuelled an intense debate about their determinants and sources of risk. Over the last months, financial markets have been considering the possibility that the new Italian government may not be able to undertake important economic reforms. Similarly, in 2017, investors were suffering from uncertain economic policies perspective during French's presidential campaign. In both cases, market participants’ mood deteriorated and interest rates increased with respect to their German counterparts. Moreover, during the French election period, financial stress propagated to European countries with weak fiscal fundamentals. Therefore, it seems that financial investor's sentiment plays an important role in determining interest rates dynamics within a country but also across countries. This paper makes three important contributions to the existing literature. First, we capture financial investor's mood by using textual information extracted from newspapers. We exploit the new Global Database of Events, Language and Tone dataset (GDELT) and construct news based financial sentiment and uncertainty indexes for the different Euro area countries. The aim is to test the hypothesis whether an increase in political uncertainty may cause deterioration in investor’s opinion with a consequent rise ininterest rates. Second, we introduce a new approach to account for possiblerisk spill oversacross the economies of the Euro area. In the existing literature, uncertainty is measured to assess domestic media perception about domestic financial events (Bloom, 2014). Conversely, in this paper we study how domestic investors, through the lens of domestic media, perceive financial facts happening in their country as well as in other European countries. The objective is to understand under what conditions economic uncertainty within a country is transmitted to another European country and how this mechanism could shape the behaviour of investors and the dynamics of yield spreads in the European bond market. Finally,following Andritzy (2012) and Gennaioli, Martin and Rossi (2014) we evaluate to what extent interest rate dynamics determined by ourmeasure of risks affect the composition of banks’ sovereign bond portfolios in the Eurozone.