Expectations and forecasting during the Great Depression: Real-time evidence from the business press

Mathy, Gabriel; Stekler, H. O.

doi:10.1016/j.jmacro.2017.05.006

Cited by 10 publications

(5 citation statements)

References 24 publications

(17 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our next step, then, is to use forecasts generated by using a textual analysis of real-time qualitative statements about economic activity. These correspond to quantitative forecasts of business activity (Mathy and Stekler, 2017).…”

mentioning

confidence: 74%

“…10 The qualitative forecasts came from The New York Times (NYT) and the Commercial and Financial Chronicle (CFC). 11 The method was developed by Goldfarb et al (2005), who only examined the 1929-30 forecasts, and used by Mathy and Stekler (2017) to evaluate the real-time nowcasts and forecasts for the entire recessionary phase of the Depression.…”

Section: Qualitative Business Forecasts Of Economic Activitymentioning

confidence: 99%

“…We also examine forecasting methods employed at the time to better simulate whether a forecast was possible in real time. This method had been used previously in Mathy and Stekler (2017), but it represents another methodological innovation that we bring to bear on this question.…”

mentioning

confidence: 99%

See 2 more Smart Citations

Was the deflation of the depression anticipated? An inference using real-time data

Mathy

Stekler

2017

Journal of Economic Methodology

Self Cite

View full text Add to dashboard Cite

Theories that explain the behavior of the economy during the Depression are based on assumptions about agents' expectations about future price trends. This paper uses an alternative methodological approach which utilizes real-time information from the Depression period to infer whether deflation was anticipated. The information includes the forecasting methodology of that time as well as projections about anticipated output that were obtained from the textual analysis of business statements, converting qualitative to quantitative data. We infer that deflation was not anticipated because agents did not expect economic output to consistently decrease.

show abstract

mentioning

confidence: 74%

Section: Qualitative Business Forecasts Of Economic Activitymentioning

confidence: 99%

See 1 more Smart Citation

Was the deflation of the depression anticipated? An inference using real-time data

Mathy

Stekler

2017

Journal of Economic Methodology

Self Cite

View full text Add to dashboard Cite

show abstract

“…12 An appealing extension in this context is motivated by the results put forward in Mathy and Stekler (2017). They show that business analysts were highly able to comprehend the situation along the quarters surrounding the global financial crisis: They use qualitative statements published in the financial press and convert them into quantitative information.…”

Section: Discussionmentioning

confidence: 99%

Structural Modeling and Forecasting Using a Cluster of Dynamic Factor Models

Glocker

Kaniovski

2020

SSRN Journal

View full text Add to dashboard Cite

We propose a modeling approach involving a series of small-scale dynamic factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. This approach merges the benefits of large-scale macroeconomic and small-scale factor models, rendering our Cluster of Dynamic Factor Models (CDFM) useful for model-consistent nowcasting and forecasting on a larger scale. While the CDFM has a simple structure and is easy to replicate, its forecasts are more precise than those of a wide range of competing models and those of professional forecasters. Moreover, the CDFM allows forecasters to introduce their own judgment and hence produce conditional forecasts.

show abstract

“…The intention was to obtain an assessment of the title without any explicit data on the year of the corresponding information flow. In the spirit of the methodology used by Mathy and Stekler (), a volunteer was then asked to read and rate the tone of each title. Three ratings were considered: −1 (negative), 0 (neutral), and 1 (positive).…”

Section: Additional Evaluationsmentioning

confidence: 99%

GDP growth forecasts and information flows: Is there evidence of overreactions?

Aromí

2017

International Finance

View full text Add to dashboard Cite

The association between GDP growth forecasts and past information flows is evaluated for a sample of 49 countries during the period 1990–2014. The analysis exploits an extensive collection of forecasts available through IMF's historical database. The empirical results indicate a robust association between information arrival and subsequent mean forecast errors (the average difference between forecast and realization). Consistent with the overreaction hypothesis, more positive information is followed by higher mean forecast errors. The association is documented for multiple metrics of past information flows: growth performance, a novel metric of press sentiment, and lagged forecast errors. When advanced and emerging economies are differentiated, the regularity is detected for both groups but is stronger in the case of emerging economies.

show abstract

Expectations and forecasting during the Great Depression: Real-time evidence from the business press

Cited by 10 publications

References 24 publications

Was the deflation of the depression anticipated? An inference using real-time data

Was the deflation of the depression anticipated? An inference using real-time data

Structural Modeling and Forecasting Using a Cluster of Dynamic Factor Models

GDP growth forecasts and information flows: Is there evidence of overreactions?

Contact Info

Product

Resources

About