Do media data help to predict German industrial production?

Arbeitspapier

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 data set 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 using more than 17,000 models formed of all possible combinations with a maximum of 3 out of 48 macroeconomic, survey, and media indicators. Media data are indispensable for the prediction of German industrial production both for individual models and as a part of combined forecasts, particularly during the global financial crisis.

Object Details

• ISBN: 978-3-86304-148-9
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DICE Discussion Paper ; No. 149

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Business Fluctuations; Cycles
• Subject: forecast combination ; media data ; German industrial production ; reliability index ; R-word

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kholodilin, Konstantin A. ; Thomas, Tobias ; Ulbricht, Dirk
• Event: Veröffentlichung
• (who): Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE)
• (where): Düsseldorf
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/98712
• Last update: 10.03.2025, 11:44 AM CET