Forecasting Macroeconomic Tail Risk in Real Time: Do Textual Data Add Value?
实时预测宏观经济尾部风险:文本数据是否提供增量价值
We examine the incremental value of news-based data relative to the FRED-MD economic indicators for quantile predictions of employment, output, inflation and consumer sentiment in a high-dimensional setting. Our results suggest that news data contain valuable information that is not captured by a large set of economic indicators. We provide empirical evidence that this information can be exploited to improve tail risk predictions. The added value is largest when media…