A note on uncertainty due to infectious diseases and output growth of the United States : a mixed-frequency forecasting experiment

Abstract

Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross Domestic Product (GDP) growth during the current period of heightened economic uncertainty due to the COVID-19 pandemic is likely to be of tremendous value to policymakers.