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

Abstract

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.

Management discussion and analysis: a tone analysis on US financial listed companies

“…This dictionary has been used for the analysis, since other scholars demonstrated that wordfrequency tone measures are as powerful as Naïve Bayesian machine-learning tone measure (Brown and Tucker, 2011;Li, 2010). Furthermore, the vocabularies of future-oriented words used by other scholars (Abed et al, 2016;Aromí, 2018;Hussainey, 2004;Matsumoto et al, 2011) have been merged with that developed by LIWC (Linguistic Inquiry and Word Count http://liwc.wpengine.com/) to obtain a single collection of future-oriented words. After that, the Loughran and McDonald dictionary was matched with the collection of future-oriented words (FLI), obtaining an intersection composed of FLI-positive words (see Table AI).…”

Estudio de opiniones sobre el desempeño económico: evidencia para los países de América Latina y el Caribe

“…En este sentido, un indicador del flujo de información analizado en este trabajo, por lo tanto, está relacionado a cambios en la tasa de crecimiento económica. Siguiendo a Aromí (2018), se construye un indicador de aceleración el cual compara la tasa de crecimiento reciente con la tasa de crecimiento para un período precedente más extenso. Sea la tasa de crecimiento anual del PBI para el período que comienza en y finaliza en .…”

Linking words in economic discourse: Implications for macroeconomic forecasts

“…In particular, they are a problem for indicators based on predefined dictionaries. For example, Aromí (2018), Garcia (2013), andTetlock (2007) have shown that words in the negative category of the Harvard IV dictionary can be used to anticipate financial and macroeconomic dynamics. Nevertheless, this category includes ambiguous words such as ''capital'', ''tire'', and ''vice''.…”

“…Improvements in data availability and processing capacity have allowed for methods of summarizing and evaluating the information provided by unstructured data. Multiple works have demonstrated the relevance of unstructured data in macroeconomic and financial contexts (Alexopoulos & Cohen, 2015;Aromí, 2017Aromí, , 2018Baker, Bloom, & Davis, 2016;Balke, Fulmer, & Zhang, 2017;Hansen, McMahon, & Prat, 2017;Loughran & McDonald, 2011;Stekler & Symington, 2016;Tetlock, 2007). These contributions typically compute interpretable indicators that are based on a small set of keywords or predefined dictionaries.…”