Internet search behavior as an economic forecasting tool: The case of inflation expectations

Journal of Economic and Social Measurement

Volumn 36, Issue 3, 2011, Pages 119-167

  Guzmán, Giselle ^a  

^a Economic Alchemy LLC   (United States)

Author keywords

expectations; forecasting; Google; Inflation; internet; metadata; search; surveys; TIPS

Indexed keywords

ECONOMIC ANALYSIS; ERROR ANALYSIS; FORECASTING METHOD; GRANGER CAUSALITY TEST; INFLATION; INTERNET; SURVEY;

EID: 84856417008     PISSN: 07479662     EISSN: None     Source Type: Journal    
DOI: 10.3233/JEM-2011-0342     Document Type: Review

References (37)

1. A. Ang, G. Bekaert and M. Wei, Do macro variables, asset markets, or surveys forecast inflation better? Journal of Monetary Economics 54 (2007), 1163-1212.
2. C. Anvik and K. Gjelstad, "Just Google it." Forecasting Norwegian unemployment figures with web queries, Center for Research in Economics and Management CREAM Publication 11 (2010).
3. N. Askitas and K. Zimmerman, Google econometrics and unemployment forecasting, Applied Economics Quarterly 55(2) (2009), 107-120.
4. G. Calvo, Staggered prices in a utility-maximizing framework, Journal of Monetary Economics 12 (1983), 383-398.
5. C. Carroll, Macroeconomic expectations of households and professional forecasters, The Quarterly Journal of Economics 118(1) (2003), 269-298. (Pubitemid 36263887)
6. H. Choi and H. Varian, Predicting the present with Google Trends, www.google.com/googleblogs/./google predicting the present.pdf (2009a).
7. H. Choi and H. Varian, Predicting initial claims for unemployment benefits, research.google. com/archive/papers/initialclaimsUS.pdf (2009b).
8. A. Constant and K. Zimmermann, Face to face with the financial crisis: The U.S. presidential election from a transnational perspective, German Institute for Economic Research Weekly Report 16/2008 (4) (2009).
9. F. D'Amuri, Predicting unemployment in short samples with internet job search query data, MPRA Paper 18403 (2009).
10. F. D'Amuri and J. Marcucci, "Google it!" Forecasting the US unemployment rate with a Google job search index, Fondazione Eni Enrico Mattei Working Papers 421 (2010).
11. R.F. Engle and C.W.J. Granger, Co-integration and error correction: Representation, estimation, and testing, Econometrica 55 (1987), 251-276.
12. G. Eysenbach, Infodemiology: Tracking flu-related searches on the web for syndromic surveillance, AMIA 2006 Symposium Proceedings (2006), 244-248.
13. D. Giannone, L. Reichlin and D. Small, Nowcasting: The real-time informational content of macroeconomic data, Journal of Monetary Economics 55 (2008), 665-676.
14. J. Ginsberg, M.Mohebbi, R. Patel, L. Brammer, M. Smolinski and L. Brilliant, Detecting influenza epidemics using search engine query data, Nature 457(19) (2009).
15. S. Goel, J. Hofman, S. Lahaie, D. Pennock and D. Watts, Predicting consumer behavior with web search, PNAS Early Edition (2010).
16. E.M. Gramlich, Models of inflation expectations formation: A comparison of household and economist forecasts, Journal of Money, Credit, and Banking 15(2) (1983), 155-173.
17. C.W.J. Granger and P. Newbold, Forecasting Economic Time Series, Academic Press, Florida, 1977.
18. A.P. Grant and L.B. Thomas, Inflationary expectations and rationality revisited, Economics Letters 62 (1999), 331-338.
19. G. Guzḿan, GDP Growth Signals, Investor Psychology, and Hedging Pressure: A Multivariate Approach to Forecasting Returns on the S&P500 Index, Independent Study, The Wharton School, University of Pennsylvania, 2003.
20. G. Guzḿan, Using sentiment surveys to predict GDP growth and stock returns, in: The Making of National Economic Forecasts, L.R. Klein, ed., Edward Elgar Publishing Ltd., London, 2009, pp. 319-351.
21. D. Harvey, S. Leybourne and P. Newbold, Testing the equality of prediction mean squared errors, International Journal of Forecasting 13 (1997), 281-291. (Pubitemid 127171128)
22. R. Kulkarni, K. Haynes, R. Stough and J. Paelinck, Forecasting housing prices with Google econometrics, George Mason University School of Public Policy Research Paper 10 (2009).
23. M. Lanne, A. Luoma and J. Luoto, A naïve sticky information model of households' inflation expectations, Journal of Economic Dynamics & Control 33 (2009), 1332-1344.
24. G. Mankiw and R. Reis, Sticky information versus sticky prices: A proposal to replace the New Keynesian Phillips Curve, The Quarterly Journal of Economics 117(4) (2002), 1295-1328. (Pubitemid 36016509)
25. R. Mariano and D. Preve, Statistical Tests for Multiple Forecast Comparison, Presentation, T.W. Anderson Conference, Stanford University, 2008.
26. Y.P. Mehra, Survey measures of expected inflation: Revisiting the issues of predictive content and rationality, Federal Reserve Bank of Richmond Economic Quarterly 88/3 (2002), 17-35.
27. W.A. Morgan, A test for significance of the difference between the two variances in a sample from a normal bivariate population, Biometrika 31 (1939), 13-19.
28. P.M. Polgreen, Y. Chen, D.M. Pennock and N.D. Forrest, Using internet searches for influenza surveillance, Clinical Infectious Diseases 47 (2008), 1443-1448.
29. J. Ritterman, M. Osborne and E. Klein, Using prediction markets and Twitter to predict a swine flu pandemic, Proceedings of the 1st International Workshop on Mining Social Media (2009).
30. H. Song, B. Pan and D. Ng, Forecasting demand for hotel rooms with search engine query volume data, College of Charleston Working Paper (2009).
31. J.H. Stock and M.W. Watson, Forecasting inflation, Journal of Monetary Economics 44 (1999), 293-335.
32. J.H. Stock and M.W. Watson, Macroeconomic forecasting using diffusion indexes, Journal of Business & Economic Statistics 20(2) (2002), 147-162.
33. T. Suhoy, Query indices and a 2008 downturn: Israeli data, Bank of Israel Discussion Paper (2009).
34. T. Suhoy, Monthly assessments of private consumption, Bank of Israel Discussion Paper (2010).
35. L.B. Thomas, Survey measures of expected U.S. inflation, The Journal of Economic Perspectives 13(4) (1999), 125-144.
36. S. Vosen and T. Schmidt, Forecasting private consumption: survey-based indicators vs. Google Trends, Journal of Forecasting doi: 10.1002/for.1213 (2011).
37. M. Woodford, Interest and Prices, Princeton University Press, Princeton, 2003.