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Saakshi Jha and Sohini Sahu
''Forecasting inflation for India with the Phillips Curve: Evidence from internet search data''
( 2020, Vol. 40 No.3 )
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.
Keywords: Google Trends, New Keynesian Phillips Curve
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Manuscript Received : Oct 17 2019 Manuscript Accepted : Aug 31 2020

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