Reading between the lines: Using media to improve German inflation forecasts

In this paper, we examine the predictive ability of automatic and expert-rated media sentiment indicators for German inflation. We find that sentiment indicators are competitive in providing inflation forecasts against a large set of common macroeconomic and financial predictors. Sophisticated linguistic sentiment algorithms and business cycle news rated by experts perform best and are superior to simple word-count indicators and autoregressive forecasts.

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Year of publication:	2017
Authors:	Beckers, Benjamin ; Kholodilin, Konstantin A. ; Ulbricht, Dirk
Publisher:	Berlin : Deutsches Institut für Wirtschaftsforschung (DIW)
Subject:	inflation prediction \| media sentiment indicators \| news reports \| real-time forecasting

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Series:	DIW Discussion Papers ; 1665
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	886729300 [GVK] hdl:10419/161657 [Handle]
Classification:	C53 - Forecasting and Other Model Applications ; E31 - Price Level; Inflation; Deflation ; E37 - Forecasting and Simulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10011655325