Related papers: Indexing Economic Fluctuation Narratives from Keik…
We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…
In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise…
We propose an approach to explain fluctuations in time intervals of financial markets data from the view point of the Gini index. We show the explicit form of the Gini index for a Weibull distribution which is a good candidate to describe…
Monthly and weekly economic indicators are often taken to be the largest common factor estimated from high and low frequency data, either separately or jointly. To incorporate mixed frequency information without directly modeling them, we…
This study presents a method to predict the growth fluctuation of firms interdependent in a network economy. The risk of downward growth fluctuation of firms is calculated from the statistics on Japanese industry.
We develop a resource-efficient methodology for measuring economic outlook in news text that combines document embeddings with synthetic training data generated by large language models. Applied to 27 million news articles, the resulting…
Methods and applications are inextricably linked in science, and in particular in the domain of text-as-data. In this paper, we examine one such text-as-data application, an established economic index that measures economic policy…
We aim to enhance a price sentiment index and to more precisely understand price trends from the perspective of not only consumers but also businesses. We extract comments related to prices from the Economy Watchers Survey conducted by the…
Volatility prediction--an essential concept in financial markets--has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We…
Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market…
In the following paper, we use a topic modeling algorithm and sentiment scoring methods to construct a novel metric that serves as a leading indicator in recession prediction models. We hypothesize that the inclusion of such a sentiment…
Quantification of economic uncertainty is a key concept for the prediction of macro economic variables such as gross domestic product (GDP), and it becomes particularly relevant on real-time or short-time predictions methodologies, such as…
Public perceptions and expectations of inflation shape household spending, wage bargaining, and policy support, making them key determinants of macroeconomic outcomes. However, current measures rely on infrequent surveys and offer limited…
This study empirically tests the $\textit{Narrative Economics}$ hypothesis, which posits that narratives (ideas that are spread virally and affect public beliefs) can influence economic fluctuations. We introduce two curated datasets…
Economic growth results from countries' accumulation of organizational and technological capabilities. The Economic and Product Complexity Indices, introduced as an attempt to measure these capabilities from a country's basket of exported…
We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
Macroeconomic fluctuations and the narratives that shape them form a mutually reinforcing cycle: public discourse can spur behavioural changes leading to economic shifts, which then result in changes in the stories that propagate. We show…
The emergence of generative Artificial Intelligence (AI) has created new opportunities for economic text analysis. This study proposes a Wage Sentiment Index (WSI) constructed with Large Language Models (LLMs) to forecast wage dynamics in…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…