News Media vs. FRED-MD for Macroeconomic Forecasting
45 Pages Posted: 28 Oct 2020
Date Written: 2020
Abstract
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP, consumption and investment growth, our results suggest that the news data contains information not captured by the hard economic indicators, and that the news-based data are particularly informative for forecasting consumption developments.
Keywords: forecasting, real-time, machine learning, news, text data
JEL Classification: C530, C550, E270, E370
Suggested Citation: Suggested Citation