Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
Policymakers, firms, and investors closely monitor traditional survey-based consumer confidence indicators and treat them as an important piece of economic information. To obtain a daily nowcast of monthly consumer confidence, we introduce a latent factor model for the vector of monthly survey-based consumer confidence and daily sentiment embedded in economic media news articles. The proposed mixed-frequency dynamic factor model uses a Toeplitz correlation matrix to account for the serial correlation in the high-frequency sentiment measurement errors. We find significant accuracy gains in nowcasting survey-based Belgian consumer confidence with economic media news sentiment.