Потенциал использования текстовых данных для оценки инфляционных ожиданий в России
DOI:
https://doi.org/10.22394/1993-7601-2026-81-26-45Ключевые слова:
инфляционные ожидания, обработка естественного языка, денежно-кредитная политика, средства массовой информации, инфляционное таргетированиеАннотация
В статье предлагается методология измерения инфляционных ожиданий фирм в России на основе анализа текстовых данных крупнейших СМИ. Из социальной сети ВКонтакте выгружены более 2.3 млн новостных публикаций 13 российских изданий за период с января 2015 по октябрь 2024 г. Для выделения публикаций, посвященных именно инфляции, а не просто содержащих соответствующие ключевые слова, применяется модель латентного размещения Дирихле (LDA)—метод вероятностного тематического моделирования. Построенный индикатор интенсивности инфляционных ожиданий демонстрирует корреляцию 78% с ценовыми ожиданиями предприятий Банка России, что существенно выше корреляции с ожиданиями населения (48%). С помощью LASSO-регрессии установлено, что наибольший вклад в объяснение динамики ожиданий фирм обеспечивают три издания экономической направленности—«Коммерсантъ», «Ведомости» и «Эксперт», которые совместно объясняют 75% дисперсии ценовых ожиданий предприятий. Результаты подтверждают, что текстовые данные СМИ могут служить эффективным дополнением к опросным методам оценки инфляционных ожиданий.Скачивания
Библиографические ссылки
Голощапова И. О., Андреев М. Л. (2017). Оценка инфляционных ожиданий российского населения методами машинного обучения. Вопросы экономики, 6, 71–93. DOI: 10.32609/0042‑8736‑2017‑6‑71‑93.
Грищенко В., Гасанова Д., Фомин Е., Кореняк Г. (2023). Идентификация товаров-маркеров и влияние их цен на инфляционные ожидания российских домохозяйств. Серия докладов об экономических исследованиях № 117. Банк России.
Евстигнеева А., Карпов Д. (2023). Влияние негативных новостей на восприятие инфляции населением. Серия докладов об экономических исследованиях № 111. Банк России.
Петрова Д. А. (2022). Оценка инфляционных ожиданий на основе интернет-данных. Прикладная эконометрика, 66, 25–38. DOI: 10.22394/1993‑7601‑2022‑66‑25‑38.
Смирнова Ж. И. (2023). Новые вызовы для денежно-кредитной политики. Аналитическая записка. Банк России.
Adrian T., Laxton M. D., Obstfeld M. M. (2018). Advancing the frontiers of monetary policy. International Monetary Fund. DOI: 10.5089/9781484325940.071.
Angelico C., Marcucci J., Miccoli M., Quarta F. (2022). Can we measure inflation expectations using Twitter? Journal of Econometrics, 228 (2), 259–277. DOI: 10.1016/j.jeconom.2021.12.008.
Armantier O., Topa G., Van der Klaauw W., Zafar B. (2017). An overview of the Survey of Consumer Expectations. Economic Policy Review, 23 (2), 51–72.
Aromí J. D., Llada M. (2020). Forecasting inflation with Twitter. Economica, 69, 64–85.
Blei D. M., Ng A. Y., Jordan M. I. (2003). Latent Dirichlet allocation. Journal of Machine Learning Research, 3, 993–1022.
Bordalo P., Gennaioli N., Shleifer A. (2018). Diagnostic expectations and credit cycles. The Journal of Finance, 73 (1), 199–227. DOI: 10.1111/jofi.12586.
Bordalo P., Gennaioli N., Ma Y., Shleifer A. (2020). Overreaction in macroeconomic expectations. American Economic Review, 110 (9), 2748–2782. DOI: 10.1257/aer.20181219.
Candia B., Coibion O., Gorodnichenko Y. (2023). The macroeconomic expectations of firms. In: Handbook of Economic Expectations, 321–353. Academic Press. DOI: 10.1016/B978‑0‑12‑822927‑9.00018‑5.
Carroll C. D. (2003). Macroeconomic expectations of households and professional forecasters. The Quarterly Journal of Economics, 118 (1), 269–298. DOI: 10.1162/00335530360535207.
Coibion O., Gorodnichenko Y., Kumar S. (2018). How do firms form their expectations? New survey evidence. American Economic Review, 108 (9), 2671–2713. DOI: 10.1257/aer.20151299.
Conrad C., Enders Z., Glas A. (2022). The role of information and experience for households' inflation expectations. European Economic Review, 143. DOI: 10.1016/j.euroecorev.2021.104015.
D'Acunto F., Malmendier U., Weber M. (2023). What do the data tell us about inflation expectations? In: Handbook of Economic Expectations, 133–161. Academic Press. DOI: 10.1016/B978‑0‑12‑822927‑9.00012‑4.
Denes J., Lestrade A., Richardet L. (2022). Using Twitter data to measure inflation perception. In: Machine learning in central banking, 57. Bank for International Settlements.
Dräger L. (2015). Inflation perceptions and expectations in Sweden—Are media reports the missing link? Oxford Bulletin of Economics and Statistics, 77 (5), 681–700. DOI: 10.1111/obes.12078.
Friedman M. (1968). The role of monetary policy. American Economic Review, 58 (1), 1–17.
Gabrielyan D., Masso J., Uusküla L. (2020). Mining news data for the measurement and prediction of inflation expectations. In: Theory and Applications of Time Series Analysis, 253–271. Springer International Publishing.
Galí J., Gertler M. (1999). Inflation dynamics: A structural econometric analysis. Journal of Monetary Economics, 44 (2), 195–222. DOI: 10.1016/S0304‑3932(99)00023‑9.
Garcia-Lembergman E., Hajdini I., Leer J., Pedemonte M., Schoenle R. (2023). The expectations of others. CEPR Discussion Papers, No. 18243. DOI: 10.18235/0013191.
Gennaioli N., Shleifer A. (2010). What comes to mind. The Quarterly Journal of Economics, 125 (4), 1399–1433. DOI: 10.1162/qjec.2010.125.4.1399.
Gürkaynak R. S., Sack B., Wright J. H. (2010). The TIPS yield curve and inflation compensation. American Economic Journal: Macroeconomics, 2 (1), 70–92. DOI: 10.1257/mac.2.1.70.
Haubrich J., Pennacchi G., Ritchken P. (2012). Inflation expectations, real rates, and risk premia: Evidence from inflation swaps. Review of Financial Studies, 25 (5), 1588–1629. DOI: 10.1093/rfs/hhs003.
Huber S., Minina D., Schmidt T. (2023). The pass-through from inflation perceptions to inflation expectations. Deutsche Bundesbank Discussion Paper, No. 17/2023.
Lei C., Lu Z., Zhang C. (2015). News on inflation and the epidemiology of inflation expectations in China. Economic Systems, 39 (4), 644–653. DOI: 10.1016/j.ecosys.2015.04.006.
Lucas R. E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, 4 (2), 103–124.
Lucas R. (1977). Understanding business cycles. Carnegie-Rochester Conference Series on Public Policy, 5 (1), 7–29.
Malmendier U., Nagel S. (2016). Learning from inflation experiences. The Quarterly Journal of Economics, 131 (1), 53–87. DOI: 10.1093/qje/qjv037.
Mankiw N. G., Reis R. (2002). Sticky information versus sticky prices: A proposal to replace the New Keynesian Phillips curve. The Quarterly Journal of Economics, 117 (4), 1295–1328. DOI: 10.1162/003355302320935034.
Phillips A. W. (1958). The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861–1957. Economica, 25 (100), 283–299.
Saakshi, Sahu S., Chattopadhyay S. (2020). Epidemiology of inflation expectations and internet search: An analysis for India. Journal of Economic Interaction and Coordination, 15, 649–671. DOI: 10.1007/s11403‑019‑00255‑4.
Svensson L. E. O. (2010). Inflation targeting. In: Handbook of Monetary Economics, 1237–1302. Elsevier.
Tversky A., Kahneman D. (1974). Judgment under uncertainty: Heuristics and biases. Science, 185 (4157), 1124–1131. DOI: 10.1126/science.185.4157.1124.
Goloshchapova I., Andreev M. (2017). Measuring inflation expectations of the Russian population with the help of machine learning. Voprosy Ekonomiki, 6, 71–93 (in Russian).
DOI: 10.32609/0042‑8736‑2017‑6‑71‑93.
Grishchenko V., Gasanova D., Fomin E., Korenyak G. (2023). Identifikaciya tovarov‑markerov i vliyanie ikh tsen na inflyatsionnye ozhidaniya rossiyskikh domokhozyaystv. Seriya dokladov Banka Rossii ob ekonomicheskikh issledovaniyakh, 117 (in Russian).
Evstigneeva A., Karpov D. (2023). Vliyanie negativnykh novostey na vospriyatie inflyatsii naseleniem.
Seriya dokladov Banka Rossii ob ekonomicheskikh issledovaniyakh, 111 (in Russian).
Petrova D. A. (2022). Assessment of inflation expectations based on internet data. Applied Econometrics,
66, 25–38 (in Russian). DOI: 10.22394/1993‑7601‑2022‑66‑25‑38.
Smirnova Zh. I. (2023). Novye vyzovy dlya denezhno‑kreditnoy politiki. Analiticheskaya zapiska. Bank Rossii (in Russian).
Adrian T., Laxton M. D., Obstfeld M. M. (2018). Advancing the frontiers of monetary policy. International Monetary Fund. DOI: 10.5089/9781484325940.071.
Angelico C., Marcucci J., Miccoli M., Quarta F. (2022). Can we measure inflation expectations using Twitter? Journal of Econometrics, 228 (2), 259–277. DOI: 10.1016/j.jeconom.2021.12.008.
Armantier O., Topa G., Van der Klaauw W., Zafar B. (2017). An overview of the Survey of Consumer Expectations. Economic Policy Review, 23 (2), 51–72.
Aromí J. D., Llada M. (2020). Forecasting inflation with Twitter. Economica, 69, 64–85.
Blei D. M., Ng A. Y., Jordan M. I. (2003). Latent Dirichlet allocation. Journal of Machine Learning Research, 3, 993–1022.
Bordalo P., Gennaioli N., Shleifer A. (2018). Diagnostic expectations and credit cycles. The Journal of Finance, 73 (1), 199–227. DOI: 10.1111/jofi.12586.
Bordalo P., Gennaioli N., Ma Y., Shleifer A. (2020). Overreaction in macroeconomic expectations. American Economic Review, 110 (9), 2748–2782. DOI: 10.1257/aer.20181219.
Candia B., Coibion O., Gorodnichenko Y. (2023). The macroeconomic expectations of firms. In: Handbook of Economic Expectations, 321–353. Academic Press. DOI: 10.1016/B978‑0‑12‑822927‑9.00018‑5.
Carroll C. D. (2003). Macroeconomic expectations of households and professional forecasters. The Quarterly Journal of Economics, 118 (1), 269–298. DOI: 10.1162/00335530360535207.
Coibion O., Gorodnichenko Y., Kumar S. (2018). How do firms form their expectations? New survey evidence. American Economic Review, 108 (9), 2671–2713. DOI: 10.1257/aer.20151299.
Conrad C., Enders Z., Glas A. (2022). The role of information and experience for households' inflation expectations. European Economic Review, 143. DOI: 10.1016/j.euroecorev.2021.104015.
D'Acunto F., Malmendier U., Weber M. (2023). What do the data tell us about inflation expectations? In: Handbook of Economic Expectations, 133–161. Academic Press. DOI: 10.1016/B978‑0‑12‑822927‑9.00012‑4.
Denes J., Lestrade A., Richardet L. (2022). Using Twitter data to measure inflation perception. In: Machine learning in central banking, 57. Bank for International Settlements.
Dräger L. (2015). Inflation perceptions and expectations in Sweden—Are media reports the missing link? Oxford Bulletin of Economics and Statistics, 77 (5), 681–700. DOI: 10.1111/obes.12078.
Friedman M. (1968). The role of monetary policy. American Economic Review, 58 (1), 1–17.
Gabrielyan D., Masso J., Uusküla L. (2020). Mining news data for the measurement and prediction of inflation expectations. In: Theory and Applications of Time Series Analysis, 253–271. Springer International Publishing.
Galí J., Gertler M. (1999). Inflation dynamics: A structural econometric analysis. Journal of Monetary Economics, 44 (2), 195–222. DOI: 10.1016/S0304‑3932(99)00023‑9.
Garcia-Lembergman E., Hajdini I., Leer J., Pedemonte M., Schoenle R. (2023). The expectations of others. CEPR Discussion Papers, No. 18243. DOI: 10.18235/0013191.
Gennaioli N., Shleifer A. (2010). What comes to mind. The Quarterly Journal of Economics, 125 (4), 1399–1433. DOI: 10.1162/qjec.2010.125.4.1399.
Gürkaynak R. S., Sack B., Wright J. H. (2010). The TIPS yield curve and inflation compensation. American Economic Journal: Macroeconomics, 2 (1), 70–92. DOI: 10.1257/mac.2.1.70.
Haubrich J., Pennacchi G., Ritchken P. (2012). Inflation expectations, real rates, and risk premia: Evidence from inflation swaps. Review of Financial Studies, 25 (5), 1588–1629. DOI: 10.1093/rfs/hhs003.
Huber S., Minina D., Schmidt T. (2023). The pass-through from inflation perceptions to inflation expectations. Deutsche Bundesbank Discussion Paper, No. 17/2023.
Lei C., Lu Z., Zhang C. (2015). News on inflation and the epidemiology of inflation expectations in China. Economic Systems, 39 (4), 644–653. DOI: 10.1016/j.ecosys.2015.04.006.
Lucas R. E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, 4 (2), 103–124.
Lucas R. (1977). Understanding business cycles. Carnegie-Rochester Conference Series on Public Policy, 5 (1), 7–29.
Malmendier U., Nagel S. (2016). Learning from inflation experiences. The Quarterly Journal of Economics, 131 (1), 53–87. DOI: 10.1093/qje/qjv037.
Mankiw N. G., Reis R. (2002). Sticky information versus sticky prices: A proposal to replace the New Keynesian Phillips curve. The Quarterly Journal of Economics, 117 (4), 1295–1328. DOI: 10.1162/003355302320935034.
Phillips A. W. (1958). The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861–1957. Economica, 25 (100), 283–299.
Saakshi, Sahu S., Chattopadhyay S. (2020). Epidemiology of inflation expectations and internet search: An analysis for India. Journal of Economic Interaction and Coordination, 15, 649–671. DOI: 10.1007/s11403‑019‑00255‑4.
Svensson L. E. O. (2010). Inflation targeting. In: Handbook of Monetary Economics, 1237–1302. Elsevier.
Tversky A., Kahneman D. (1974). Judgment under uncertainty: Heuristics and biases. Science, 185 (4157), 1124–1131. DOI: 10.1126/science.185.4157.1124.
