Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina

Abstract: We evaluate whether professional forecasters incorporate valuable information from public discussions on social media. The study covers the case of inflation in Argentina for the period 2016–2022. We find solid evidence consistent with inattention. A simple indicator of attention to infl...

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Autores principales: Aromí, José Daniel, Llada, Martín
Formato: Artículo
Lenguaje:Inglés
Publicado: 2024
Materias:
INFLACION
INFORMACION
MACROECONOMÍA
Acceso en línea:https://repositorio.uca.edu.ar/handle/123456789/18353
Aporte de:
Repositorio Institucional de la Universidad Católica Argentina (UCA) de Universidad Católica Argentina
id I33-R139-123456789-18353
record_format dspace
spelling I33-R139-123456789-183532024-06-28T05:02:19Z Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina Aromí, José Daniel Llada, Martín INFLACION INFORMACION MACROECONOMÍA Abstract: We evaluate whether professional forecasters incorporate valuable information from public discussions on social media. The study covers the case of inflation in Argentina for the period 2016–2022. We find solid evidence consistent with inattention. A simple indicator of attention to inflation on social media is shown to anticipate professional forecast errors. A one standard deviation increment in the indicator is followed by a rise of 0.4% in mean forecast errors in the subsequent month and by a cumulative increment of 0.7% over the next 6 months. Furthermore, social media content anticipates significant revisions in forecasts that target multiple months ahead inflation and calendar year inflation. These findings are different from previously documented forms of inattention. Consistent results are verified by implementing out-of-sample forecasts and using content from an alternative social network. The study has implications for the use of professional forecasts in the context of policymaking and sheds new evidence on the nature of imperfect information in macroeconomics. 2024-06-27T15:56:06Z 2024-06-27T15:56:06Z 2024 Artículo Aromí, J. D., Llada, M. Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina [en línea]. Journal of Forecasting. 2024. doi: 10.1002/for.3141. Disponible en: https://repositorio.uca.edu.ar/handle/123456789/18353 https://repositorio.uca.edu.ar/handle/123456789/18353 10.1002/for.3141 eng Acceso restringido http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Argentina SIGLO XX Journal of Forecasting. 2024
institution Universidad Católica Argentina
institution_str I-33
repository_str R-139
collection Repositorio Institucional de la Universidad Católica Argentina (UCA)
language Inglés
topic INFLACION
INFORMACION
MACROECONOMÍA
spellingShingle INFLACION
INFORMACION
MACROECONOMÍA
Aromí, José Daniel
Llada, Martín
Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina
topic_facet INFLACION
INFORMACION
MACROECONOMÍA
description Abstract: We evaluate whether professional forecasters incorporate valuable information from public discussions on social media. The study covers the case of inflation in Argentina for the period 2016–2022. We find solid evidence consistent with inattention. A simple indicator of attention to inflation on social media is shown to anticipate professional forecast errors. A one standard deviation increment in the indicator is followed by a rise of 0.4% in mean forecast errors in the subsequent month and by a cumulative increment of 0.7% over the next 6 months. Furthermore, social media content anticipates significant revisions in forecasts that target multiple months ahead inflation and calendar year inflation. These findings are different from previously documented forms of inattention. Consistent results are verified by implementing out-of-sample forecasts and using content from an alternative social network. The study has implications for the use of professional forecasts in the context of policymaking and sheds new evidence on the nature of imperfect information in macroeconomics.
format Artículo
author Aromí, José Daniel
Llada, Martín
author_facet Aromí, José Daniel
Llada, Martín
author_sort Aromí, José Daniel
title Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina
title_short Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina
title_full Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina
title_fullStr Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina
title_full_unstemmed Are professional forecasters inattentive to public discussions about inflation? : the case of Argentina
title_sort are professional forecasters inattentive to public discussions about inflation? : the case of argentina
publishDate 2024
url https://repositorio.uca.edu.ar/handle/123456789/18353
work_keys_str_mv AT aromijosedaniel areprofessionalforecastersinattentivetopublicdiscussionsaboutinflationthecaseofargentina
AT lladamartin areprofessionalforecastersinattentivetopublicdiscussionsaboutinflationthecaseofargentina
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