Articlehybrid2021

News media versus FRED‐MD for macroeconomic forecasting

Jon Ellingsen · Vegard H. Larsen · Leif Anders Thorsrud

54 citations0/0 files storedJournal of Applied Econometrics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Stock Market Forecasting Methods

Abstract

Summary Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive , we perform an in depth real‐time out‐of‐sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED‐MD dataset. Focusing on US GDP, consumption and investment growth, our results suggest that the news data contains information not captured by the hard economic indicators, and that the news‐based data are particularly informative for forecasting consumption developments.

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References

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