Forecasting inflation for India with the Phillips Curve: Evidence from internet search data

Saakshi Jha () and Sohini Sahu ()
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Saakshi Jha: Indian Institute of Management Ranchi
Sohini Sahu: Indian Institute of Technology Kanpur

Economics Bulletin, 2020, vol. 40, issue 3, 2372-2379

Abstract: This paper forecasts inflation based on the New Keynesian Phillips curve for India using internet search-based inflation expectations. We find that compared to inflation forecasts based on traditional time-series estimation method like AR(1) or household-survey based inflation expectations, our model that employs inflation expectations of agents based on real time inflation-related internet search, has better inflation forecasting performance. From a policy standpoint, this underscores the importance of analysing big data for the purpose of forecasting inflation.

Keywords: Google Trends; New Keynesian Phillips Curve (search for similar items in EconPapers)
JEL-codes: E5 (search for similar items in EconPapers)
Date: 2020-08-31
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Citations: View citations in EconPapers (1)

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