Distilling the macroeconomic news flow

Published

Journal Article

© 2015 Elsevier B.V. We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the technique to extract real-time measures of inflation, output, employment, and macroeconomic sentiment, as well as corresponding measures of disagreement among economists about these indices. We find that our procedure provides more timely and accurate forecasts of future changes in economic conditions than other real-time forecasting approaches.

Full Text

Duke Authors

Cited Authors

  • Beber, A; Brandt, MW; Luisi, M

Published Date

  • September 1, 2015

Published In

Volume / Issue

  • 117 / 3

Start / End Page

  • 489 - 507

International Standard Serial Number (ISSN)

  • 0304-405X

Digital Object Identifier (DOI)

  • 10.1016/j.jfineco.2015.05.005

Citation Source

  • Scopus