Jon Ellingsen

Ellingsen, Jon; Larsen, Vegard Høghaug & Thorsrud, Leif Anders (2021)

News media versus FRED-MD for macroeconomic forecasting

Journal of applied econometrics Doi: 10.1002/jae.2859

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.