News Media vs. FRED-MD for Macroeconomic Forecasting
CESifo, Munich, 2020
CESifo Working Paper No. 8639
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.
Fiscal Policy, Macroeconomics and Growth
Empirical and Theoretical Methods