Time-varying coefficient models have been widely used to model changing relationships of economic and financial variables. The existing literature usually specifies the time-varying coefficient vector as a stochastic stationary process, a deterministic function of time, or a unit root process....

In this paper we apply economic narratives to inflation forecasting using a large news corpus and machine learning algorithms. We measure economic narratives quantitatively from the full text content of over 880,000 Wall Street Journal articles and represent them as interpretable news topics....