News media vs. FRED-MD for macroeconomic forecasting
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.
- Jon Ellingsen, Vegard H. Larsen and Leif Anders Thorsrud
- Working Paper
Norges Bank’s working papers present research projects and reports that are generally not in their final form. Other analyses by Norges Bank’s economists are also included in the series. The views and conclusions in these documents are those of the authors.
ISSN 1502-8190 (online)