【欧洲央行-2025研报】使用ChatGPT增强GDP即时预报：PMInews发布的新应用（英）.pdfVIP

WorkingPaperSeries

GabeJ.deBondt,YiqiaoSunEnhancingGDPnowcastswith

ChatGPT:anovelapplicationofPMI

newsreleases

No3063

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

ThisstudyinvolvestaskingChatGPTwithclassifyingan“activitysentimentscore”basedonPMInews

releases.ItexploresthepredictivepowerofthisscoreforeuroareaGDPnowcasting.WefindthatthePMI

textscoresenhanceGDPnowcastsbeyondwhatisembeddedinECB/EurosystemStaffprojectionsand

Eurostat’sfirstGDPestimate.TheChatGPT-derivedactivityscoreretainsitssignificanceinregressions

thatalsoincludethecompositeoutputPMIdiffusionindex.GDPnowcastsaresignificantlyenhancedwith

PMItextscoresevenwhenaccountingformethodologicalvariations,excludingextraordinaryeconomic

eventslikethepandemic,andfordifferentGDPgrowthquantiles.However,theforecastgainsfromthe

enhancementofGDPnowcastswithChatGPTscoresaretimedependent,varyingbycalendaryears.

Sizeableforecastgainsofonaverageabout20%wereobtainedapartfromthetwomostrecentyearsdue

toexceptionallylowforecasterrorsofthetwobenchmarks,especiallythefirstGDPestimate.

KeywordsChatGenerativePre-trainingTransformer,textanalysis,zero-shotsentimentanalysis,

PurchasingManagers’Index(PMI),nowcastingGDP

JELClassificationC8;E32;C22

ECBWorkingPaperSeriesNo30631

Non-technicalsummary

Thisstudyintroducesanovelapproachtoeconomicforecastingbyutilizingartifi