Discussion Papers 1665, 19 S.
Benjamin Beckers, Konstantin A. Kholodilin, Dirk Ulbricht
2017
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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.
JEL-Classification: C53;E31;E37
Keywords: Inflation prediction, media sentiment indicators, news reports, real-time forecasting
Frei zugängliche Version: (econstor)
http://hdl.handle.net/10419/161657