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News media vs. FRED-MD for macroeconomic forecasting

Jon Ellingsen, Vegard Larsen and Leif Thorsrud

No 2020/14, Working Paper from Norges Bank

Abstract: 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 U.S. 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.

Keywords: forecasting; real-time; machine learning; news; text data (search for similar items in EconPapers)
JEL-codes: C53 C55 E27 E37 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2020-10-08
New Economics Papers: this item is included in nep-big, nep-cmp and nep-mac
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https://hdl.handle.net/11250/2690107

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Working Paper: News media vs. FRED-MD for macroeconomic forecasting (2020) Downloads
Working Paper: News Media vs. FRED-MD for Macroeconomic Forecasting (2020) Downloads
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