Do media data help to predict German industrial production?

K. Kholodilin; Ulbricht D.

doi:10.1002/for.2449

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Do media data help to predict German industrial production?

Journal of Forecasting. 2017. Vol. 36. No. 5. P. 483–496.

Kholodilin K., Ulbricht D.

In an uncertain world, decisions by market participants are based on expectations. Therefore, sentiment indicators
reflecting expectations have a proven track record at predicting economic variables. However, survey respondents
largely perceive the world through media reports. Here, we want to make use of that. We employ a rich dataset provided by Media Tenor International, based on sentiment analysis of opinion-leading media in Germany from 2001
to 2014, transformed into several monthly indices. German industrial production is predicted in a real-time out-of-sample forecasting experiment and media indices are compared to a huge set of alternative indicators. Media data
turn out to be valuable for 10- to 12-month horizon forecasts, which is in line with the lag between monetary policy
announcements and their effect on industrial production. This holds in the period during and after the Great Recession when many models fail.

Language: English

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Keywords: media data German industrial production forecast breakdown real-time experiment model confidence set

Do media data help to predict German industrial production?

Kholodilin K., Thomas T., Ulbricht D., Dusseldorf: Düsseldorf university press, 2014.

In an uncertain world, decisions by market participants are based on expectations. Thus, sentiment indicators reflecting expectations are proven at predicting economic variables. However, survey respondents largely perceive the world through media reports. Typically, crude media information, like word-count indices, is used in the prediction of macroeconomic and financial variables. Here, we employ a rich ...

Added: April 17, 2017