Prediction of key macroeconomic indicators using Internet search queries

Прогнозирование основных макроэкономических показателей с использованием поисковых интернет запросов

Diana Petrova and Pavel Trunin

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: This study examines the usefulness of Google Trends intensity search queries data as a measure of economic expectations in predicting inflation, unemployment, real gdp growth and exchange rate during the period between January 2004 and July 2019. We use search queries related to financial markets, inflation expectations and macroeconomic conditions. The results show that the addition of Google search queries improveы out-of-sample forecasts of inflation, unemployment and exchange rate over naïve forecast.

Pages: 71 pages
Date: 2020-03
New Economics Papers: this item is included in nep-age, nep-cis, nep-gen and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:032014

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