Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98712
Authors: 
Kholodilin, Konstantin A.
Thomas, Tobias
Ulbricht, Dirk
Year of Publication: 
2014
Series/Report no.: 
DICE Discussion Paper 149
Abstract: 
In an uncertain world, decisions by market participants are based on expectations. Thus, sentiment indicators reflecting expectations are proven at predicting economic variables. However, survey respondents largely perceive the world through media reports. Typically, crude media information, like word-count indices, is used in the prediction of macroeconomic and financial variables. Here, we employ a rich data set provided by Media Tenor International, based on sentiment analysis of opinion-leading media in Germany from 2001 to 2014, transformed into several monthly indices. German industrial production is predicted in a real-time out-of-sample forecasting experiment using more than 17,000 models formed of all possible combinations with a maximum of 3 out of 48 macroeconomic, survey, and media indicators. Media data are indispensable for the prediction of German industrial production both for individual models and as a part of combined forecasts, particularly during the global financial crisis.
Subjects: 
forecast combination
media data
German industrial production
reliability index
R-word
JEL: 
C10
C52
C53
E32
ISBN: 
978-3-86304-148-9
Document Type: 
Working Paper

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