Distilling the Macroeconomic News Flow

Alessandro Beber (), Michael W. Brandt and Maurizio Luisi

No 19650, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the technique to extract real-time measures of inflation, output, employment, and macroeconomic sentiment, as well as corresponding measures of disagreement among economists about these indices. We find that our procedure provides more timely and accurate forecasts of future changes in economic conditions than other real-time forecasting approaches.

JEL-codes: E0 E17 E27 E32 E37 E44 G0 (search for similar items in EconPapers)
Date: 2013-11
New Economics Papers: this item is included in nep-for and nep-mac
Note: AP
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Citations: View citations in EconPapers (3)

Published as Alessandro Beber & Michael W. Brandt & Maurizio Luisi, 2015. "Distilling the macroeconomic news flow," Journal of Financial Economics, vol 117(3), pages 489-507.

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Related works:
Journal Article: Distilling the macroeconomic news flow (2015)
Working Paper: Distilling the Macroeconomic News Flow (2013)
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