Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press

Dorinth van Dijk and Jasper de Winter ()

Working Papers from DNB

Abstract: We extract tone-adjusted, time-varying and hierarchically ordered topics from a large corpus of Dutch financial news and investigate whether these topics are useful for monitoring the business cycle and nowcasting GDP growth in the Netherlands. The financial newspaper articles span the period January 1985 up until January 2021. Our newspaper sentiment indicator has a high concordance with the business cycle. Further, we find newspaper sentiment increases the accuracy of our nowcast for GDP growth using a dynamic fac- tor model, especially in periods of crisis. We conclude that our tone-adjusted newspaper topics contain valuable information not embodied in monthly indicators from statistical offices.

Keywords: Factor models; topic modeling; nowcasting (search for similar items in EconPapers)
JEL-codes: C38 C55 C8 E3 (search for similar items in EconPapers)
Date: 2023-03
New Economics Papers: this item is included in nep-big, nep-eec and nep-fdg
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:766

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