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Nowcasting inflation using prices from the web

Author

Listed:
  • Mirko Ðukic, Iva Krsmanovic, Miodrag Petkovic
  • Mirko Ðukic

    (National Bank of Serbia)

  • Iva Krsmanovic

    (National Bank of Serbia)

  • Miodrag Petkovic

    (National Bank of Serbia)

Abstract

The paper presents the methodology which the National Bank of Serbia uses to nowcast inflation in real time, based on prices from the web, downloaded automatically using web scraping. A specific feature of the method used by the National Bank of Serbia is that it is based not only on prices for online shopping, but on every relevant data on the prices, including those displayed on the web merely informatively. The intention of the NBS was to cover as many items in the CPI as possible (around 90% at the time of writing this paper), in an endeavour to acquire a more reliable nowcast of the inflation central tendency. In the first year of applying this method, nowcasting performance has been encouraging – on average, inflation nowcasts were at the level of the official figures (nowcasts are not biased), the mean forecasting absolute error was 0.20 pp, and the median was 0.13 pp, which is not significant given that the observed period was characterized by relatively high and volatile inflation.

Suggested Citation

  • Mirko Ðukic, Iva Krsmanovic, Miodrag Petkovic & Mirko Ðukic & Iva Krsmanovic & Miodrag Petkovic, 2023. "Nowcasting inflation using prices from the web," Working Papers Bulletin 16, National Bank of Serbia.
    • Handle: RePEc:nsb:bilten:16
    as

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    File URL: https://www.nbs.rs/documents-eng/publikacije/wp_bulletin/wp_bulletin_03_23_1.pdf
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    References listed on IDEAS

    as
    1. Gagik Aghajanyan & Tigran Baghdasaryan & Gor Lazyan, 2017. "The use of Big Data in Central Bank of Armenia," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Big Data, volume 44, Bank for International Settlements.
    2. Cavallo, Alberto, 2013. "Online and official price indexes: Measuring Argentina's inflation," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 152-165.
    3. Paweł Macias & Damian Stelmasiak, 2019. "Food inflation nowcasting with web scraped data," NBP Working Papers 302, Narodowy Bank Polski.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    inflation forecasting; web prices; web scraping; big data;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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