Nowcasting GDP growth using media news articles

De Block, A. (Speaker)
Algaba, A. (Contributor)
Geert Langenus (Contributor)
Peter Reusens (Contributor)

Activity: Talk or presentation › Talk or presentation at a conference

Description

GDP growth is the key indicator for measuring the state of the economy. It is closely monitored by policymakers, firms, and investors to optimize their economic decision-making. But while decisions have to be made in real-time, GDP growth is only observed at a quarterly frequency and with a substantial publication lag. To monitor the state of the economy in real-time, high-frequency macroeconomic and financial variables are used to nowcast GDP growth. We propose to augment this real-time dataset with information embedded in media news articles. The regression-based nowcasting approaches allow us to construct media-based variables that are optimal for the application of nowcasting GDP growth. Moreover, by enforcing sparsity, we manage only to select the most informative macroeconomic, financial, and media-based variables leading to superior nowcasting performance.

Period	20 Dec 2020
Event title	14th International Conference on Computational and Financial Econometrics
Event type	Conference