Distilling the macroeconomic news flow

• 成果类型: Article
• 署名作者: Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio
• 署名单位: City St Georges, University of London; Duke University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.05.005
• 发表日期: 2015
• 页码: 489-507
• 关键词: Macroeconomic news; forecasting; Nowcasting; DISAGREEMENT

摘要

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. (C) 2015 Elsevier B.V. All rights reserved.