Gabrielyan, D.; Masso, J.; Uusküla, L. (2020). Mining News Data for the Measurement and Prediction of Inflation Expectations. Editorial Universitat Politècnica de València. 2-4. https://doi.org/10.4995/CARMA2020.2020.11322
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/148762
Title:
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Mining News Data for the Measurement and Prediction of Inflation Expectations
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Author:
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Gabrielyan, Diana
Masso, Jaan
Uusküla, Lenno
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Issued date:
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Abstract:
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[EN] In this paper we use high frequency multidimensional textual news data and
propose an index of inflation news. We utilize the power of text mining and its
ability to convert large collections of text from unstructured ...[+]
[EN] In this paper we use high frequency multidimensional textual news data and
propose an index of inflation news. We utilize the power of text mining and its
ability to convert large collections of text from unstructured to structured form
for in-depth quantitative analysis of online news data. The significant
relationship between the household’s infla-tion expectations and news topics
is documented and the forecasting performance of news-based indices is
evaluated for different horizons and model variations. Results sug-gest that
with optimal number of topics a machine learning model is able to forecast the
inflation expectations with greater accuracy than the simple autoregressive
models. Addi-tional results from forecasting headline inflation indicate that
the overall forecasting accu-racy is at a good level. Findings in this paper
support the view in the literature that the news are good indicators of inflation
and are able to capture inflation expectations well.
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Subjects:
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Web data
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Internet data
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Big data
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Qca
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Pls
,
Sem
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Conference
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Inflation
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Inflation expectations
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Natural language processing
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News data
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Topic modelling
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Copyrigths:
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Reconocimiento - No comercial - Sin obra derivada (by-nc-nd)
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ISBN:
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9788490488324
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DOI:
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10.4995/CARMA2020.2020.11322
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Publisher:
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Editorial Universitat Politècnica de València
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Publisher version:
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http://ocs.editorial.upv.es/index.php/CARMA/CARMA2020/paper/view/11322
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Conference name:
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CARMA 2020 - 3rd International Conference on Advanced Research Methods and Analytics
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Conference place:
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Valencia, Spain
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Conference date:
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Julio 08-09,2020
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Type:
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Capítulo de libro
Comunicación en congreso
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