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Forecasting inflation for India with the Phillips Curve: Evidence from internet search data

Author

Listed:
  • Saakshi Jha

    (Indian Institute of Management Ranchi)

  • Sohini Sahu

    (Indian Institute of Technology Kanpur)

Abstract

This paper forecasts inflation based on the New Keynesian Phillips curve for India using internet search-based inflation expectations. We find that compared to inflation forecasts based on traditional time-series estimation method like AR(1) or household-survey based inflation expectations, our model that employs inflation expectations of agents based on real time inflation-related internet search, has better inflation forecasting performance. From a policy standpoint, this underscores the importance of analysing big data for the purpose of forecasting inflation.

Suggested Citation

  • Saakshi Jha & Sohini Sahu, 2020. "Forecasting inflation for India with the Phillips Curve: Evidence from internet search data," Economics Bulletin, AccessEcon, vol. 40(3), pages 2372-2379.
    • Handle: RePEc:ebl:ecbull:eb-19-00920
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    References listed on IDEAS

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    Cited by:

    1. Petrova, Diana, 2022. "Assessment of inflation expectations based on internet data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 25-38.

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    More about this item

    Keywords

    Google Trends; New Keynesian Phillips Curve;

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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