Forecasting inflation with online prices

Diego Aparicio and Manuel I. Bertolotto

International Journal of Forecasting, 2020, vol. 36, issue 2, 232-247

Abstract: Are survey-based forecasts unbeatable? They are not. This paper uses online price indices to forecast the Consumer Price Index. We find that online price indices anticipate changes in official inflation trends more than one month in advance. Our baseline one-month forecast outperforms Bloomberg surveys of forecasters, which only predict the contemporaneous inflation rate. Our baseline specification also outperforms statistical benchmark forecasts for Australia, Canada, France, Germany, Greece, Ireland, Italy, the Netherlands, the United Kingdom, and the United States. Similarly, our quarterly forecast for the US inflation rate substantially outperforms the Survey of Professional Forecasters.

Keywords: Inflation forecasting; Online prices; Survey of professional forecast; High frequency; Monthly forecast; Quarterly forecast (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:36:y:2020:i:2:p:232-247

DOI: 10.1016/j.ijforecast.2019.04.018

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