Media and business cycle predictability
File(s)
Accepted version
Author(s)
Cathcart, Lara
Michaelides, Alex
Baz, Salim
Type
Journal Article
Abstract
We construct empirical measures of US business-cycle activity based on media mentions of the word “recession” in financial newspapers. The MRIs (media recession indicators) are useful predictors of US economic activity, both in-sample and out-of-sample. Moreover, they compare favorably with existing business-cycle predictors (term premium, purchasing managers' index, consumer sentiment index and real stock market returns). Furthermore, we show that the MRIs are useful predictors of the probability of a US recession 6 months in advance. Our findings also suggest that constructing and using a more sophisticated sentiment-weighted index does not lead to economically significant improvements in business cycle predictability.
Date Issued
2026-05-07
Date Acceptance
2026-04-20
Citation
Journal of Forecasting, 2026
ISSN
0277-6693
Publisher
Wiley
Journal / Book Title
Journal of Forecasting
Copyright Statement
Copyright © 2026 John Wiley & Sons Ltd. This is the author’s accepted manuscript made available under a CC-BY licence in accordance with Imperial’s Research Publications Open Access policy (www.imperial.ac.uk/oa-policy)
License URL
Publication Status
Published online
Date Publish Online
2026-05-07