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1665 Reading between the Lines: Using Media to Improve German Inflation Forecasts Benjamin Beckers, Konstantin A. Kholodilin, Dirk Ulbricht 2017 19 S.

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Abstract:

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