Business News and Business Cycles

• 成果类型: Article
• 署名作者: Bybee, Leland; Kelly, Bryan; Manela, Asaf; Xiu, Dacheng
• 署名单位: Yale University; National Bureau of Economic Research; Washington University (WUSTL); University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13377
• 发表日期: 2024
• 关键词: stock-market; monetary-policy; volatility; INFORMATION; performance; returns; sample

摘要

We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984 to 2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of news attention allocated to each theme over time. News attention closely tracks a wide range of economic activities and can forecast aggregate stock market returns. A text-augmented vector autoregression demonstrates the large incremental role of news text in forecasting macroeconomic dynamics. We retrieve the narratives that underlie these improvements in market and business cycle forecasts.