Macro & forecasting | Sentometrics Research

Optimal text-based time-series indices

Thu, 01 Jan 2026 00:00:00 +0000

The most recent methodological instalment of the sentometrics programme: rather than selecting among pre-specified index constructions, the index itself is optimised for the series it is meant to explain.

A century of economic policy uncertainty through the French-Canadian lens

Sun, 01 Aug 2021 00:00:00 +0000

Historical archives break the standard EPU recipe: issues are often digitised as whole editions rather than individual articles, and source availability shifts over the century. The paper proposes a token-distance-based triple detection and a dynamic normalisation across sources, and shows the resulting index nowcasts Canadian and Quebec macroeconomic variables better than the existing Canadian EPU.

Built with archives from Bibliothèque et Archives nationales du Québec and a research collaboration with Radio-Canada. Download the index.

The economic policy uncertainty index for Flanders, Wallonia and Belgium

Tue, 01 Dec 2020 00:00:00 +0000

The index is derived daily from major Belgian newspapers in French and Dutch since 2001, using triplets of economy / policy / uncertainty keywords defined by a combination of expert judgment and NLP. A 2021 revision made the index more local to Belgium and better aligned across the two languages.

Download the index.

Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values

Tue, 01 Oct 2019 00:00:00 +0000

Rather than committing to one way of turning news into a sentiment index, the paper generates thousands of candidate indices and lets a sparse regression select the ones that forecast. Winner of the International Journal of Forecasting best paper award 2018–2019.

The daily topical sentiment indices are available for download.