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

Author

Listed:
  • Goshima Keiichi

    (Waseda University, Tokyo, Japan and)

  • Ishijima Hiroshi

    (Chuo University, Tokyo, Japan)

  • Shintani Mototsugu
  • Yamamoto Hiroki

    (The University of Tokyo, Tokyo, Japan and)

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.

Suggested Citation

  • Goshima Keiichi & Ishijima Hiroshi & Shintani Mototsugu & Yamamoto Hiroki, 2021. "Forecasting Japanese inflation with a news-based leading indicator of economic activities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(4), pages 111-133, September.
  • Handle: RePEc:bpj:sndecm:v:25:y:2021:i:4:p:111-133:n:6
    DOI: 10.1515/snde-2019-0117
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    Cited by:

    1. Jouchi Nakajima & Hiroaki Yamagata & Tatsushi Okuda & Shinnosuke Katsuki & Takeshi Shinohara, 2021. "Extracting Firms' Short-Term Inflation Expectations from the Economy Watchers Survey Using Text Analysis," Bank of Japan Working Paper Series 21-E-12, Bank of Japan.

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