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News media versus FRED‐MD for macroeconomic forecasting

Author

Listed:
  • Jon Ellingsen
  • Vegard H. Larsen
  • Leif Anders Thorsrud

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 US 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.

Suggested Citation

  • Jon Ellingsen & Vegard H. Larsen & Leif Anders Thorsrud, 2022. "News media versus FRED‐MD for macroeconomic forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 63-81, January.
    • Handle: RePEc:wly:japmet:v:37:y:2022:i:1:p:63-81
    DOI: 10.1002/jae.2859
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    Cited by:

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    2. Olivier De Bandt & Jean-Charles Bricongne & Julien Denes & Alexandre Dhenin & Annabelle De Gaye & Pierre-Antoine Robert, 2023. "Using the Press to Construct a New Indicator of Inflation Perceptions in France," Working papers 921, Banque de France.
    3. Gustavo Romero Cardoso & Marcio Issao Nakane, 2024. "What’s in a headline? News impact on the Brazilian economy," Working Papers, Department of Economics 2024_12, University of São Paulo (FEA-USP).
    4. Winker, Peter, 2023. "Visualizing Topic Uncertainty in Topic Modelling," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277584, Verein für Socialpolitik / German Economic Association.

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