  We study the predictive power of industry-specific economic sentiment
indicators for future macro-economic developments. In addition to the sentiment
of firms towards their own business situation, we study their sentiment with
respect to the banking sector - their main credit providers. The use of
industry-specific sentiment indicators results in a high-dimensional
forecasting problem. To identify the most predictive industries, we present a
bootstrap Granger Causality test based on the Adaptive Lasso. This test is more
powerful than the standard Wald test in such high-dimensional settings.
Forecast accuracy is improved by using only the most predictive industries
rather than all industries.
