ABSTRACT We construct empirical measures of US business‐cycle activity based on media mentions of the word “recession” in financial newspapers. The MRIs (media recession indicators) are useful predictors of US economic activity, both in‐sample and out‐of‐sample. Moreover, they compare favorably with existing business‐cycle predictors (term premium, purchasing managers' index, consumer sentiment index and real stock market returns). Furthermore, we show that the MRIs are useful predictors of the probability of a US recession 6 months in advance. Our findings also suggest that constructing and using a more sophisticated sentiment‐weighted index does not lead to economically significant improvements in business cycle predictability.
Baz et al. (2026) studied this question.