Forecasting Inflation with Online Prices

30 Pages Posted: 14 Jun 2016 Last revised: 30 Sep 2017

Diego Aparicio

Massachusetts Institute of Technology (MIT), Department of Economics

Manuel Bertolotto

Universidad de San Andrés

Date Written: June 1, 2017


Are survey-based forecasts unbeatable? They are not. This paper introduces online price indices to forecast the Consumer Price Index. We find that online price indices anticipate changes in official inflation trends more than one month in advance. Our baseline one-month and two-month-ahead forecasts substantially outperform Bloomberg surveys of forecasters, which only predict the contemporaneous inflation rate. Our baseline specification also outperforms statistical benchmark forecasts for Australia, Canada, France, Germany, Greece, Ireland, Italy, the Netherlands, the United Kingdom, and the United States. Similarly, our quarterly forecast for the US inflation rate consistently outperforms the Survey of Professional Forecasters.

Keywords: Forecasting, Inflation, Survey of Professional Forecasts, Online Prices.

JEL Classification: C53, E31, E37

Suggested Citation

Aparicio, Diego and Bertolotto, Manuel, Forecasting Inflation with Online Prices (June 1, 2017). Available at SSRN: or

Diego Aparicio

Massachusetts Institute of Technology (MIT), Department of Economics ( email )

Cambridge, MA
United States

Manuel Bertolotto (Contact Author)

Universidad de San Andrés ( email )

Vito Dumas 284
(1644) Victoria, Pcia
Buenos Aires, Buenos Aires 1644

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