You might have heard it called different things. Traditionally referred to as literature, creative writing is an art of sorts - the art of making things up. It's writing done in a way that is not academic or technical but still attracts an audience. Though the definition is rather loose, creative writing can for the most part be considered any writing that is original and self-expressive. A news article, for example, cannot be considered creative writing because its main goal is to present facts and not to express the feelings of the writer. While a news article can be entertaining, its main purpose is to present the facts.
