Nowcasting inflation using prices from the web

Mirko Ðukic, Iva Krsmanovic, Miodrag Petkovic, Mirko Ðukic, Iva Krsmanovic and Miodrag Petkovic
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Mirko Ðukic: National Bank of Serbia
Iva Krsmanovic: National Bank of Serbia
Miodrag Petkovic: National Bank of Serbia

Working Papers Bulletin from National Bank of Serbia

Abstract: The paper presents the methodology which the National Bank of Serbia uses to nowcast inflation in real time, based on prices from the web, downloaded automatically using web scraping. A specific feature of the method used by the National Bank of Serbia is that it is based not only on prices for online shopping, but on every relevant data on the prices, including those displayed on the web merely informatively. The intention of the NBS was to cover as many items in the CPI as possible (around 90% at the time of writing this paper), in an endeavour to acquire a more reliable nowcast of the inflation central tendency. In the first year of applying this method, nowcasting performance has been encouraging – on average, inflation nowcasts were at the level of the official figures (nowcasts are not biased), the mean forecasting absolute error was 0.20 pp, and the median was 0.13 pp, which is not significant given that the observed period was characterized by relatively high and volatile inflation.

Keywords: inflation forecasting; web prices; web scraping; big data (search for similar items in EconPapers)
JEL-codes: C53 E17 E58 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2023-03
New Economics Papers: this item is included in nep-big, nep-cba, nep-mon and nep-tra
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