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
Yamamoto Hiroki: The University of Tokyo, Tokyo, Japan and
Studies in Nonlinear Dynamics & Econometrics, 2021, vol. 25, issue 4, 111-133
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)
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:25:y:2021:i:4:p:111-133:n:6
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