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

Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani and Hiroki Yamamoto
Additional contact information
Keiichi Goshima: Waseda University and Bank of Japan
Hiroshi Ishijima: Chuo University
Mototsugu Shintani: Corresponding author, The University of Tokyo and Bank of Japan
Hiroki Yamamoto: The University of Tokyo

No CARF-F-458, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

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.

New Economics Papers: this item is included in nep-for and nep-mon
Date: 2019-05
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