News media versus FRED‐MD for macroeconomic forecasting

Abstract

Summary Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive , we perform an in depth real‐time out‐of‐sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED‐MD dataset. Focusing on US GDP, consumption and investment growth, our results suggest that the news data contains information not captured by the hard economic indicators, and that the news‐based data are particularly informative for forecasting consumption developments.