arXiv 16 May 2024 · Econometrics · publishedInternational Journal of Forecasting (2025)
arXiv:2405.10449 · PDF · DOI · OpenAlex · Extracted main text
We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance with respect to a target variable, such as inflation. We illustrate our methodology with a corpus of news articles from the Wall Street Journal by optimizing text-based indices focusing on tracking the VIX index and inflation expectations. Our results highlight the superior performance of our approach compared to existing indices.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Baker, S.R., Bloom, N., Davis, S.J., Kost, K.J (2019) Policy news and stock market volatility | 0.928 | 4 | 3 | 100% |
| 2 | Baker, S.R., Bloom, N., Davis, S.J (2016) Measuring economic policy uncertainty | 0.874 | 6 | 2 | 100% |
| 3 | Marcellino, M.G., Stevanovic, D (2022) The demand and supply of information about inflation | 0.811 | 4 | 2 | 100% |
| 4 | Algaba, A., Ardia, D., Bluteau, K., Borms, S., Boudt, K (2020) Econometrics meets sentiment: An overview of methodology and applications self | 0.737 | 3 | 2 | 100% |
| 5 | Pfajfar, D., Santoro, E (2013) News on inflation and the epidemiology of inflation expectations | 0.737 | 3 | 2 | 100% |
| 6 | Ardia, D., Bluteau, K., Boudt, K (2019) Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values self | 0.644 | 2 | 2 | 100% |
| 7 | Jegadeesh, N., Wu, D (2013) Word power: A new approach for content analysis | 0.644 | 2 | 2 | 100% |
| 8 | Loughran, T., McDonald, B (2014) Measuring readability in financial disclosures | 0.644 | 2 | 2 | 100% |
| 9 | Manela, A., Moreira, A (2017) News implied volatility and disaster concerns | 0.644 | 2 | 2 | 100% |
| 10 | Hansen, S., McMahon, M., Prat, A (2018) Transparency and deliberation within the FOMC: A computational linguistics approach | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 26 scored citations.