The narrative about the economy as a shadow forecast: an analysis using Banco de España quarterly reports

The aim of this paper is to construct a text-based indicator that reflects the sentiment of the Banco de Espana economic outlook reports. Our sentiment indicator mimics very closely the first release of the GDP growth rate, which is published after the publication of the reports, and the Banco de Espana quarterly forecasts of the GDP growth rate. This means that the qualitative narrative contained in the reports contains similar information to the one conveyed by the quantitative forecasts. In addition, the narrative complements the quantitative projections by discussing information which is not directly reflected in the point forecasts.