Institutional Affiliation: Quantitative Investment Solutions
NBER Working Papers and Publications
|November 2013||Distilling the Macroeconomic News Flow|
with Alessandro Beber, Michael W. Brandt: w19650
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.
Published: Alessandro Beber & Michael W. Brandt & Maurizio Luisi, 2015. "Distilling the macroeconomic news flow," Journal of Financial Economics, vol 117(3), pages 489-507.