Distilling the macroeconomic news flow

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

Journal of Financial Economics, 2015, vol. 117, issue 3, 489-507

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.

Keywords: Macroeconomic news; Forecasting; Nowcasting; Disagreement (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (12)

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Related works:
Working Paper: Distilling the Macroeconomic News Flow (2013)
Working Paper: Distilling the Macroeconomic News Flow (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:117:y:2015:i:3:p:489-507

DOI: 10.1016/j.jfineco.2015.05.005

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