Distilling the Macroeconomic News Flow
48 Pages Posted: 20 Feb 2013 Last revised: 21 Mar 2014
Date Written: March 20, 2014
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.
Keywords: macroeconomic news, nowcasting, disagreement
JEL Classification: G12
Suggested Citation: Suggested Citation