Distilling the Macroeconomic News Flow
NBER Working Paper No. 19650
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.
Document Object Identifier (DOI): 10.3386/w19650
Published: Alessandro Beber & Michael W. Brandt & Maurizio Luisi, 2015. "Distilling the macroeconomic news flow," Journal of Financial Economics, vol 117(3), pages 489-507.
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