Forecasting inflation with Twitter
- Autores
- Aromí, José Daniel; Llada, Martín
- Año de publicación
- 2022
- Idioma
- inglés
- Tipo de recurso
- documento de trabajo
- Estado
- versión publicada
- Descripción
- Fil: Aromí, José Daniel. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; Argentina
Fil: Aromí, José Daniel. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas; Argentina
Fil: Aromí, José Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Llada, Martín. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; Argentina
Fil: Llada, Martín. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Abstract: Inflation has become a central topic in macroeconomic analysis. In this context, there is high value in expanding our ability to monitor and, more importantly, anticipate inflation dynamics. Social media content emerges as a potentially valuable tool to advance this agenda. That is, the large volume of messages exchanged in public discussions can be used to extract information regarding the likely path of inflation dynamics. In this study, we analyze public discussions on the micro-blogging site Twitter. Our study focuses on the case of Argentina. This is a particularly interesting case of study since this is an economy where inflation has been a recurrent and highly disruptive phenomenon. The empirical evidence indicates Twitter content anticipates inflation. More specifically, a simple indicator of the level of attention allocated to inflation provides valuable information regarding inflation levels and inflation uncertainty. Estimated forecasting models indicate that an increment in the attention index are followed to statistically and economically significant increments in expected inflation. Out-of-sample forecasts confirm that the index allows for gains in forecast accuracy. Complementarily, higher values of the attention index anticipate increments in inflation uncertainty as approximated by the interquartile range of next month inflation forecasts. The information gains are different from and compare favorably with the information provided by lagged inflation and lagged devaluation rate. Also, analyses show that these information gains are substantive compared to those that result from using traditional macroeconomic indicators such as the level of economic activity, monetary aggregates and interest rates. Furthermore, the information content of four alternative indicators of expectations are also evaluated: Google search Volume, newspaper content, mass media tweets and a consumer survey. These analyses confirm that social media data constitutes a particularly valuable source of information regarding future inflation. - Fuente
- Serie Documentos de Trabajo del IIEP. 2022, 76
- Materia
-
MACROECONOMÍA
INFLACION
REDES SOCIALES
DEVALUACION
TWITTER - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-sa/4.0/
- Repositorio
- Institución
- Pontificia Universidad Católica Argentina
- OAI Identificador
- oai:ucacris:123456789/18354
Ver los metadatos del registro completo
id |
RIUCA_e22463c92088fa22573db7102e667774 |
---|---|
oai_identifier_str |
oai:ucacris:123456789/18354 |
network_acronym_str |
RIUCA |
repository_id_str |
2585 |
network_name_str |
Repositorio Institucional (UCA) |
spelling |
Forecasting inflation with TwitterAromí, José DanielLlada, MartínMACROECONOMÍAINFLACIONREDES SOCIALESDEVALUACIONTWITTERFil: Aromí, José Daniel. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; ArgentinaFil: Aromí, José Daniel. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas; ArgentinaFil: Aromí, José Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Llada, Martín. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; ArgentinaFil: Llada, Martín. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaAbstract: Inflation has become a central topic in macroeconomic analysis. In this context, there is high value in expanding our ability to monitor and, more importantly, anticipate inflation dynamics. Social media content emerges as a potentially valuable tool to advance this agenda. That is, the large volume of messages exchanged in public discussions can be used to extract information regarding the likely path of inflation dynamics. In this study, we analyze public discussions on the micro-blogging site Twitter. Our study focuses on the case of Argentina. This is a particularly interesting case of study since this is an economy where inflation has been a recurrent and highly disruptive phenomenon. The empirical evidence indicates Twitter content anticipates inflation. More specifically, a simple indicator of the level of attention allocated to inflation provides valuable information regarding inflation levels and inflation uncertainty. Estimated forecasting models indicate that an increment in the attention index are followed to statistically and economically significant increments in expected inflation. Out-of-sample forecasts confirm that the index allows for gains in forecast accuracy. Complementarily, higher values of the attention index anticipate increments in inflation uncertainty as approximated by the interquartile range of next month inflation forecasts. The information gains are different from and compare favorably with the information provided by lagged inflation and lagged devaluation rate. Also, analyses show that these information gains are substantive compared to those that result from using traditional macroeconomic indicators such as the level of economic activity, monetary aggregates and interest rates. Furthermore, the information content of four alternative indicators of expectations are also evaluated: Google search Volume, newspaper content, mass media tweets and a consumer survey. These analyses confirm that social media data constitutes a particularly valuable source of information regarding future inflation.0000-0002-4377-532X2022info:eu-repo/semantics/workingPaperinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_8042info:ar-repo/semantics/documentoDeTrabajoapplication/pdfhttps://repositorio.uca.edu.ar/handle/123456789/183542451-5728Forecasting inflation with Twitter [en línea]. Serie Documentos de Trabajo del IIEP. 2022, 76. Disponible en: https://repositorio.uca.edu.ar/handle/123456789/18354Serie Documentos de Trabajo del IIEP. 2022, 76reponame:Repositorio Institucional (UCA)instname:Pontificia Universidad Católica ArgentinaengArgentinaSIGLO XXinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/4.0/2025-07-03T10:59:51Zoai:ucacris:123456789/18354instacron:UCAInstitucionalhttps://repositorio.uca.edu.ar/Universidad privadaNo correspondehttps://repositorio.uca.edu.ar/oaiclaudia_fernandez@uca.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:25852025-07-03 10:59:51.925Repositorio Institucional (UCA) - Pontificia Universidad Católica Argentinafalse |
dc.title.none.fl_str_mv |
Forecasting inflation with Twitter |
title |
Forecasting inflation with Twitter |
spellingShingle |
Forecasting inflation with Twitter Aromí, José Daniel MACROECONOMÍA INFLACION REDES SOCIALES DEVALUACION |
title_short |
Forecasting inflation with Twitter |
title_full |
Forecasting inflation with Twitter |
title_fullStr |
Forecasting inflation with Twitter |
title_full_unstemmed |
Forecasting inflation with Twitter |
title_sort |
Forecasting inflation with Twitter |
dc.creator.none.fl_str_mv |
Aromí, José Daniel Llada, Martín |
author |
Aromí, José Daniel |
author_facet |
Aromí, José Daniel Llada, Martín |
author_role |
author |
author2 |
Llada, Martín |
author2_role |
author |
dc.contributor.none.fl_str_mv |
0000-0002-4377-532X |
dc.subject.none.fl_str_mv |
MACROECONOMÍA INFLACION REDES SOCIALES DEVALUACION |
topic |
MACROECONOMÍA INFLACION REDES SOCIALES DEVALUACION |
dc.description.none.fl_txt_mv |
Fil: Aromí, José Daniel. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; Argentina Fil: Aromí, José Daniel. Pontificia Universidad Católica Argentina. Facultad de Ciencias Económicas; Argentina Fil: Aromí, José Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina Fil: Llada, Martín. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; Argentina Fil: Llada, Martín. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina Abstract: Inflation has become a central topic in macroeconomic analysis. In this context, there is high value in expanding our ability to monitor and, more importantly, anticipate inflation dynamics. Social media content emerges as a potentially valuable tool to advance this agenda. That is, the large volume of messages exchanged in public discussions can be used to extract information regarding the likely path of inflation dynamics. In this study, we analyze public discussions on the micro-blogging site Twitter. Our study focuses on the case of Argentina. This is a particularly interesting case of study since this is an economy where inflation has been a recurrent and highly disruptive phenomenon. The empirical evidence indicates Twitter content anticipates inflation. More specifically, a simple indicator of the level of attention allocated to inflation provides valuable information regarding inflation levels and inflation uncertainty. Estimated forecasting models indicate that an increment in the attention index are followed to statistically and economically significant increments in expected inflation. Out-of-sample forecasts confirm that the index allows for gains in forecast accuracy. Complementarily, higher values of the attention index anticipate increments in inflation uncertainty as approximated by the interquartile range of next month inflation forecasts. The information gains are different from and compare favorably with the information provided by lagged inflation and lagged devaluation rate. Also, analyses show that these information gains are substantive compared to those that result from using traditional macroeconomic indicators such as the level of economic activity, monetary aggregates and interest rates. Furthermore, the information content of four alternative indicators of expectations are also evaluated: Google search Volume, newspaper content, mass media tweets and a consumer survey. These analyses confirm that social media data constitutes a particularly valuable source of information regarding future inflation. |
description |
Fil: Aromí, José Daniel. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía; Argentina |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/workingPaper info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_8042 info:ar-repo/semantics/documentoDeTrabajo |
format |
workingPaper |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
https://repositorio.uca.edu.ar/handle/123456789/18354 2451-5728 Forecasting inflation with Twitter [en línea]. Serie Documentos de Trabajo del IIEP. 2022, 76. Disponible en: https://repositorio.uca.edu.ar/handle/123456789/18354 |
url |
https://repositorio.uca.edu.ar/handle/123456789/18354 |
identifier_str_mv |
2451-5728 Forecasting inflation with Twitter [en línea]. Serie Documentos de Trabajo del IIEP. 2022, 76. Disponible en: https://repositorio.uca.edu.ar/handle/123456789/18354 |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/4.0/ |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-sa/4.0/ |
dc.format.none.fl_str_mv |
application/pdf |
dc.coverage.none.fl_str_mv |
Argentina SIGLO XX |
dc.source.none.fl_str_mv |
Serie Documentos de Trabajo del IIEP. 2022, 76 reponame:Repositorio Institucional (UCA) instname:Pontificia Universidad Católica Argentina |
reponame_str |
Repositorio Institucional (UCA) |
collection |
Repositorio Institucional (UCA) |
instname_str |
Pontificia Universidad Católica Argentina |
repository.name.fl_str_mv |
Repositorio Institucional (UCA) - Pontificia Universidad Católica Argentina |
repository.mail.fl_str_mv |
claudia_fernandez@uca.edu.ar |
_version_ |
1836638373860605952 |
score |
13.13397 |