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
Repositorio Institucional (UCA)
Institución
Pontificia Universidad Católica Argentina
OAI Identificador
oai:ucacris:123456789/18354

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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
TWITTER
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
TWITTER
topic MACROECONOMÍA
INFLACION
REDES SOCIALES
DEVALUACION
TWITTER
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
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