基于互联网数据的通胀预期评估

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2022-01-01 DOI:10.22394/1993-7601-2022-66-25-38

Diana Petrova

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引用次数: 1

摘要

本文基于社交媒体Vkontakte的帖子和谷歌趋势搜索查询，对2014-2021年俄罗斯互联网用户的通胀预期进行了评估。我们从新闻社区和搜索查询中收集帖子，使用与通胀相关的正则表达式来衡量通胀预期。基于互联网数据的通胀预期与实际通胀高度相关，反映了家庭对2014-2021年价格上涨的担忧。格兰杰因果检验表明，这两种衡量互联网用户通胀预期的指标都可能是实际通胀的潜在预测指标。本文利用VAR对2015年2月至2021年12月的新凯恩斯菲利普斯曲线进行了计量经济分析。结果表明，通胀预期的上升与实际通胀的上升和货币政策的收紧是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Assessment of inflation expectations based on internet data

This article provides assessments of inflation expectations of Russian internet users based on the posts of the social media Vkontakte and Google Trends search queries during 2014–2021. We collect posts from news communities and search queries to measure inflation expectations using inflation‐related regular expressions. Inflation expectations based on internet data are highly correlated with actual inflation and reflect household concerns about price increases during 2014–2021. Granger causality tests have shown both measures of internet user inflation expectations can be potential predictors of actual inflation. An econometric analysis of the New Keynesian Phillips Curve is carried out using VAR from February 2015 to December 2021. The results suggest that an increase in inflation expectations is consistent with an increase in actual inflation and a tightening of monetary policy.

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.