The Narrative About the Economy as a Shadow Forecast: An Analysis Using Banco De España Quarterly Reports

24 Pages Posted: 29 Dec 2020

See all articles by Nélida Díaz Sobrino

Nélida Díaz Sobrino

affiliation not provided to SSRN

Corinna Ghirelli

Banco de España

Samuel Hurtado

Banco de España

Javier J. Pérez

Banco de España - Research Department

Alberto Urtasun

Banco de España

Date Written: December 29, 2020

Abstract

The aim of this paper is to construct a text-based indicator that reflects the sentiment of the Banco de España economic outlook reports. Our sentiment indicator mimics very closely the first release of the GDP growth rate, which is published after the publication of the reports, and the Banco de España quarterly forecasts of the GDP growth rate. This means that the qualitative narrative contained in the reports contains similar information to the one conveyed by the quantitative forecasts. In addition, the narrative complements the quantitative projections by discussing information which is not directly reflected in the point forecasts.

Keywords: textual analysis, sentiment analysis, GDP growth rate, forecasting, central bank reports

JEL Classification: C53, C55, E37, E66, E58

Suggested Citation

Díaz Sobrino, Nélida and Ghirelli, Corinna and Hurtado, Samuel and Perez, Javier J. and Urtasun, Alberto, The Narrative About the Economy as a Shadow Forecast: An Analysis Using Banco De España Quarterly Reports (December 29, 2020). Banco de Espana Working Paper No. 2042, Available at SSRN: https://ssrn.com/abstract=3756777 or http://dx.doi.org/10.2139/ssrn.3756777

Nélida Díaz Sobrino (Contact Author)

affiliation not provided to SSRN

Corinna Ghirelli

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Samuel Hurtado

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

HOME PAGE: http://www.bde.es

Javier J. Perez

Banco de España - Research Department ( email )

Alcala 50
28014 Madrid
Spain

HOME PAGE: http://www.bde.es/investigador/staff/95.htm

Alberto Urtasun

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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