Forecasting inflation with online prices

被引：27

作者：

Aparicio, Diego ^{[1
]}

Bertolotto, Manuel, I ^{[2
]}

机构：

[1] IESE Business Sch, Barcelona, Spain

[2] Univ San Andres, Dept Econ, 284 Vito Dumas, RA-1644 Buenos Aires, DF, Argentina

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2020年 / 36卷 / 02期

关键词：

Inflation forecasting; Online prices; Survey of professional forecast; High frequency; Monthly forecast; Quarterly forecast; MONETARY-POLICY; US INFLATION; MODELS; VARIABLES; INTERNET; MARKETS; OUTPUT;

D O I：

10.1016/j.ijforecast.2019.04.018

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 onemonth 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. (C) 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

引用

页码：232 / 247

页数：16

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