Forecasting inflation with twitter

J. Daniel Aromi and Martín Llada

No 4308, Asociación Argentina de Economía Política: Working Papers from Asociación Argentina de Economía Política

Abstract: We use Twitter content to generate an indicator of attention allocated to inflation. The analysis corresponds to Argentina for the period 2012-2019. The attention index provides valuable information regarding future levels of inflation. A one standard deviation increment in the index is followed by an increment of approximately 0.4% in expected inflation in the consecutive month. Out-of-sample exercises confirm that social media content allows for gains in forecast accuracy. Beyond point forecasts, the index provides valuable information regarding inflation uncertainty. The proposed indicator compares favorably with other indicators such as media content, media tweets, google search intensity and consumer surveys.

JEL-codes: C53 E31 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2020-11
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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