Forecasting Japanese inflation with a news-based leading indicator of economic activities

Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani, Hiroki Yamamoto

Research output: Contribution to journalArticlepeer-review

Abstract

We construct business cycle indexes based on the daily Japanese newspaper articles and estimate the Phillips curve model to forecast inflation at a daily frequency. We find that the news-based leading indicator, constructed from the topic on future economic conditions, is useful in forecasting the inflation rate in Japan.

Original languageEnglish
JournalStudies in Nonlinear Dynamics and Econometrics
DOIs
Publication statusAccepted/In press - 2020

Keywords

  • Phillips curve
  • nowcasting
  • out-of-sample forecasting
  • text classification

ASJC Scopus subject areas

  • Analysis
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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