Beckers, Benjamin Kholodilin, Konstantin A. Ulbricht, Dirk
Year of Publication:
DIW Discussion Papers 1665
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.
inflation prediction media sentiment indicators news reports real-time forecasting