Distilling the Macroeconomic News Flow

47 Pages Posted: 16 Nov 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: November 2013

Abstract

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.

Suggested Citation

Beber, Alessandro and Brandt, Michael W. and Luisi, Maurizio, Distilling the Macroeconomic News Flow (November 2013). NBER Working Paper No. w19650. Available at SSRN: https://ssrn.com/abstract=2355656

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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