Testing Investment Forecast Efficiency with Forecasting Narratives

DOI

I analyze the narratives that accompany business cycle forecasting reports of three German institutes using topic models. To this end, I gather multiple similar topics into different economic subject categories, allowing me to map shifting prioritizations within and between these subjects. Subsequently, I examine whether forecasting narratives contain additional information not captured by traditional indicators and include them in a random forest-based investment-forecast efficiency analysis. I find multiple correlations between narratives and forecast errors and conclude that forecasters inefficiently incorporate qualitative information in these cases. I raise the idea that further investigations with more precise identification of forecasting narratives could improve qualitative information processing or lead to scientific guidelines for forecast adjustments.

Identifier
DOI https://doi.org/10.15456/jbnst.2022091.173449
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:773634
Provenance
Creator Foltas, Alexander
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2022
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics