Ferrari, Massimo; Le Mezo, Helena - 2021
This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper … develops an index in the spirit of Baker et al. (2016) and Caldara and Iacoviello (2018) which tracks developments in U.S. real … indicators for the U.S. business cycle such as PMIs, consumers' surveys or employment data. …