Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210110 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Working Paper No. 21/2016
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data are decomposed into time series representing newspaper topics using a Latent Dirichlet Allocation model. The business cycle index is estimated using the newspaper topics and a time-varying Dynamic Factor Model where dynamic sparsity is enforced upon the factor loadings using a latent threshold mechanism. The resulting index is shown to be not only more timely but also more accurate than commonly used alternative business cycle indicators. Moreover, the derived index provides the index user with broad based high frequent information about the type of news that drive or re ect economic uctuations.
Schlagwörter: 
LDA
latent dirichlet allocation
business cycles
dynamic factor model
JEL: 
C11
C32
E32
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-953-1
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.