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

Goshima Keiichi (), Ishijima Hiroshi (), Shintani Mototsugu () and Yamamoto Hiroki ()
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Goshima Keiichi: Waseda University, Tokyo, Japan and
Ishijima Hiroshi: Chuo University, Tokyo, Japan
Shintani Mototsugu: The University of Tokyo, Tokyo, Japan and
Yamamoto Hiroki: The University of Tokyo, Tokyo, Japan and

Studies in Nonlinear Dynamics & Econometrics, 2021, vol. 25, issue 4, 111-133

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.

Keywords: nowcasting; out-of-sample forecasting; Phillips curve; text classification (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/snde-2019-0117

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