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Business News and Business Cycles / Leland Bybee, Bryan T. Kelly, Asaf Manela, Dacheng Xiu.
- Format:
- Book
- Author/Creator:
- Bybee, Leland.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29344.
- NBER working paper series no. w29344
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984-2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of news attention allocated to each theme over time. News attention closely tracks a wide range of economic activities and explains 25% of aggregate stock market returns. A text-augmented VAR demonstrates the large incremental role of news text in modeling macroeconomic dynamics. We use this model to retrieve the narratives that underlie business cycle fluctuations.
- Notes:
- Print version record
- October 2021.
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