Distilling the Macroeconomic News Flow

46 Pages Posted: 26 Feb 2013

See all articles by Alessandro Beber

Alessandro Beber

Cass Business School; Centre for Economic Policy Research (CEPR)

Michael W. Brandt

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Maurizio Luisi

Independent; affiliation not provided to SSRN

Multiple version iconThere are 3 versions of this paper

Date Written: February 2013

Abstract

We propose a simple cross-sectional technique to extract daily latent factors from economic news releases available at different dates and frequencies. Our approach can effectively handle the large number of heterogeneous 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 dimensions of the data. We find that our procedure provides more timely and accurate forecasts of the future evolution of the economy than other real-time forecasting approaches in the literature.

Keywords: disagreement., macroeconomic news, nowcasting

JEL Classification: G12

Suggested Citation

Beber, Alessandro and Brandt, Michael W. and Luisi, Maurizio, Distilling the Macroeconomic News Flow (February 2013). CEPR Discussion Paper No. DP9360. Available at SSRN: https://ssrn.com/abstract=2224284

Alessandro Beber (Contact Author)

Cass Business School ( email )

London, EC2Y 8HB
Great Britain

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Michael W. Brandt

Duke University - Fuqua School of Business ( email )

1 Towerview Drive
Durham, NC 27708-0120
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Maurizio Luisi

Independent ( email )

No Address Available

affiliation not provided to SSRN

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