Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence
نویسندگان
چکیده
Policymakers, firms, and investors closely monitor traditional survey-based consumer confidence indicators treat them as an important piece of economic information. To obtain a daily nowcast monthly confidence, we introduce latent factor model for the vector sentiment embedded in media news articles. The proposed mixed-frequency dynamic uses Toeplitz correlation matrix to account serial high-frequency measurement errors. We find significant accuracy gains nowcasting Belgian with sentiment.
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1 Australian School of Business, University of New South Wales, Sydney NSW 2052, Australia 2 Department of Economic Informatics, Mathematics and Statistics, Faculty of Economics, West University of Timişoara, 16A Pestalozzi Street, 300115 Timişoara, Romania 3 Department of Mathematics, Politehnica University of Timişoara, 2 P-ţa. Victoriei, 300004 Timişoara, Romania 4 Department of Applied Math...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2023
ISSN: ['1872-8200', '0169-2070']
DOI: https://doi.org/10.1016/j.ijforecast.2021.11.005