German forecasters' narratives: How informative are German business cycle forecast reports?

Karsten Müller

No 23, Working Papers from German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin

Abstract: Based on German business cycle forecast reports covering 10 German institutions for the period 1993-2017, the paper analyses the information content of German forecasters' narratives for German business cycle forecasts. The paper applies textual analysis to convert qualitative text data into quantitative sentiment indices. First, a sentiment analysis utilizes dictionary methods and text regression methods, using recursive estimation. Next, the paper analyses the different characteristics of sentiments. In a third step, sentiment indices are used to test the efficiency of numerical forecasts. Using 12-month-ahead fixed horizon forecasts, fixed-effects panel regression results suggest some informational content of sentiment indices for growth and inflation forecasts. Finally, a forecasting exercise analyses the predictive power of sentiment indices for GDP growth and inflation. The results suggest weak evidence, at best, for in-sample and out-of-sample predictive power of the sentiment indices.

Keywords: Textual analysis; Sentiment; Macroeconomic forecasting; Forecast evaluation; Germany (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 E66 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-big, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/225084/1/1735258784.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:pp1859:23

DOI: 10.18452/22014

Access Statistics for this paper

More papers in Working Papers from German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().