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.

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.

Norges Bank’s Working Papers are also distributed by RepEcSSRN and BIS Central Bank Research Hub.

ISSN 1502-8190 (online)

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