Real-time Economics
Sep 16, 2025
The Power of Narrative Attention
By Zachary Crowell, Lee Ferridge, Michael Guidi, William Kinlaw, Gideon Ozik, and Ronnie Sadka We present new research analyzing how media-driven narratives significantly influence currency movements, offering predictive power beyond traditional economic factors. We introduce a novel framework for quantifying how media attention to economic and geopolitical narratives impacts currency risk and returns. By analyzing nearly a decade of digital media across 52 currency pairs, we observe that sudden ...
Oct 26, 2023
Inflation Hedging: A Dynamic Approach Using Online Prices
By Alberto Cavallo, Megan Czasonis, William Kinlaw, and David Turkington We show how unstructured price data from online retailers can anticipate inflation shifts and enable investors to hedge inflation risk dynamically. Investors and academics have been studying inflation, and how it affects asset prices, for more than four decades. Their findings are discouraging: there just aren’t many assets that offer a reliable hedge against inflation. Treasury Inflation Protected Securities (TIPS), ...
Oct 17, 2023
Fed Members’ Monetary Tones and Yields
By Musa Amadeus, Rajeev Bhargava, Michael Guidi, Marvin Loh, Gideon Ozik, and Ronnie Sadka Read between the lines: The measurement of Fed members’ monetary tones facilitates an understanding of the dynamics of the individual monetary policy stances underlying aggregated, consensus (top-down) Fed tones. Amadeus et al. (2022) observe that aggregated, consensus (top-down) central bank monetary tones in media contain predictive information pertaining to future weekly yield fluctuations. This article ...
Apr 4, 2023
Quantifying Narratives and their Impact on Financial Markets
By Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore We introduce a unique media-based measure of narratives, called thematic indicators, and explore how they can be used to improve asset allocation and achieve desired thematic exposures. This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to which narratives drive financial markets and returns of investment portfolios. We show that media-derived ...
Mar 30, 2022
Central Bank Monetary Tones and Yields
By Musa Amadeus, Rajeev Bhargava, Timothy Graf, Michael Guidi, Michael Metcalfe, Gideon Ozik, and Ronnie Sadka Published in the Journal of Fixed Income, Spring 2022 Read between the lines: Central bank monetary tones contain predictive information relating to weekly fluctuations in treasury yields. This paper examines the ramifications of central bank monetary tones on future changes in yields. We observe that monetary tones in media coverage of central bank policies contain predictive information ...
Jul 28, 2021
A New Index of the Business Cycle
By William Kinlaw, Mark Kritzman, and David Turkington. Published in the Journal of Investment Management, Q3 2021. Recipient of the 2021 Roger F. Murray First Place Prize Award. We introduce a new index that synthesizes economic data to forecast the relative likelihood of recession versus high growth. The index uses the Mahalanobis distance to measure the statistical similarity of current economic conditions with past episodes of recession and robust growth. Our approach has a key advantage ...
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.