We propose a novel modification to the popular principal component analysis (PCA) by scaling each predictor with its predictive slope on the target to be forecasted. Unlike the PCA that maximizes the common variation of predictors, our scaled PCA, sPCA, puts more weights on those predictors that...

In this paper we propose an approach to measure real-time economic conditions using economic news narratives. We construct a News-based Daily Economic Condition Index (NDEI) relying on interpretable news topics estimated from the full text content of 800,000 Wall Street Journal articles. The...