• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • View Item
  •   Home
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Words are the new numbers: A newsy coincident index of business cycles

Thorsrud, Leif Anders
Working paper
Thumbnail
View/Open
Working_CAMP_4-2016.pdf (5.424Mb)
URI
http://hdl.handle.net/11250/2429265
Date
2016
Metadata
Show full item record
Collections
  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Abstract
In this paper I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data is decomposed into time series representing newspaper topics using a Latent Dirichlet Allocation model.

The business cycle index is estimated using the newspaper topics and a time-varying Dynamic Factor Model where dynamic sparsity is enforced upon the factor loadings using a latent threshold mechanism. I show that both contributions, the usage of newspaper data and the latent threshold mechanism, contribute towards the qualities of the derived index: It is more timely and accurate than commonly used alternative business cycle indicators and indexes, and, it provides the index user with broad based high frequent information about the type of news that drive or reflect economic fluctuations.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;4/2016

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit