Asaf Manela

Washington University in St. Louis,
Olin Business School,
Campus Box 1133
One Brookings Drive
St. Louis, MO 63130

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Washington University in St. Louis

NBER Working Papers and Publications

January 2020The Structure of Economic News
with Leland Bybee, Bryan T. Kelly, Dacheng Xiu: w26648
We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text content of 800,000 Wall Street Journal articles for 1984{2017, we estimate a topic model that summarizes business news as easily interpretable topical themes and quantifies the proportion of news attention allocated to each theme at each point in time. We then use our news attention estimates as inputs into statistical models of numerical economic time series. We demonstrate that these text-based inputs accurately track a wide range of economic activity measures and that they have incremental forecasting power for macroeconomic outcomes, above and beyond standard numerical predictors. Finally, we use our model to retrieve the news-based narratives that underly “shocks” in ...
November 2019Text Selection
with Bryan T. Kelly, Alan Moreira: w26517
Text data is ultra-high dimensional, which makes machine learning techniques indispensable for textual analysis. Text is often selected—journalists, speechwriters, and others craft messages to target their audiences’ limited attention. We develop an economically motivated high dimensional selection model that improves learning from text (and from sparse counts data more generally). Our model is especially useful when the choice to include a phrase is more interesting than the choice of how frequently to repeat it. It allows for parallel estimation, making it computationally scalable. A first application revisits the partisanship of US congressional speech. We find that earlier spikes in partisanship manifested in increased repetition of different phrases, whereas the upward trend starting ...
January 2016Intermediary Asset Pricing: New Evidence from Many Asset Classes
with Zhiguo He, Bryan Kelly: w21920
We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital shocks is consistently positive and of similar magnitude when estimated separately for individual asset classes, suggesting that financial intermediaries are marginal investors in many markets and ...

Published: He, Zhiguo & Kelly, Bryan & Manela, Asaf, 2017. "Intermediary asset pricing: New evidence from many asset classes," Journal of Financial Economics, Elsevier, vol. 126(1), pages 1-35. citation courtesy of

November 2012Information Acquisition in Rumor Based Bank Runs
with Zhiguo He: w18513
We study information acquisition and dynamic withdrawal decisions when a spreading rumor exposes a solvent bank to a run. Uncertainty about the bank's liquidity and potential failure motivates depositors who hear the rumor to acquire additional noisy signals. Depositors with less informative signals may wait before gradually running on the bank, leading to an endogenous aggregate withdrawal speed and bank survival time. Private information acquisition about liquidity can subject solvent-but-illiquid banks to runs, and shorten the survival time of failing banks. Public provision of solvency information can mitigate runs by indirectly crowding-out individual depositors' effort to acquire liquidity information.

Published: Journal of Finance, Volume 71, Issue 3 June 2016 Pages 1113–1158 citation courtesy of

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