Norges Bank

Working Paper

News media vs. FRED-MD for macroeconomic forecasting

Author:
Jon Ellingsen, Vegard H. Larsen and Leif Anders Thorsrud
Series:
Working Paper
Number:
14/2020

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.

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ISSN 1502-8143 (online)

Published 9 October 2020 14:30
Published 9 October 2020 14:30