Forecasting Japanese inflation with a news-based leading indicator of economic activities
Mototsugu Shintani and
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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
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.
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf458
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