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Distilling the Macroeconomic News Flow

Author

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  • Beber, Alessandro
  • Brandt, Michael
  • Luisi, Maurizio

Abstract

We propose a simple cross-sectional technique to extract daily latent factors from economic news releases available at different dates and frequencies. Our approach can effectively handle the large number of heterogeneous 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 dimensions of the data. We find that our procedure provides more timely and accurate forecasts of the future evolution of the economy than other real-time forecasting approaches in the literature.

Suggested Citation

  • Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Distilling the Macroeconomic News Flow," CEPR Discussion Papers 9360, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:9360
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    References listed on IDEAS

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    Cited by:

    1. Garcí­a, Juan Angel & Werner, Sebastian E. V., 2016. "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series 1938, European Central Bank.

    More about this item

    Keywords

    disagreement.; macroeconomic news; nowcasting;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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