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

Author

Listed:
  • 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)

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

  • Keiichi Goshima & Hiroshi Ishijima & Mototsugu Shintani & Hiroki Yamamoto, 2019. "Forecasting Japanese inflation with a news-based leading indicator of economic activities," CARF F-Series CARF-F-458, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf458
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    References listed on IDEAS

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    Cited by:

    1. Mikhaylov, Dmitry, 2023. "Macroeconomic Forecasting with the Use of News Data," Working Papers w20220250, Russian Presidential Academy of National Economy and Public Administration.

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