Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297023 
Year of Publication: 
2023
Series/Report no.: 
Working Papers No. 2023-21
Publisher: 
Banco de México, Ciudad de México
Abstract: 
This paper evaluates the influence of central bank's projections and narrative signals provided in the summaries of its Inflation Report on the expectations of professional forecasters for inflation and GDP growth in the case of Mexico. We use the Latent Dirichlet Allocation model, a textmining technique, to identify narrative signals. We show that both quantitative and qualitative information have an influence on inflation and GDP growth expectations. We also find that narrative signals related to monetary policy, observed inflation, aggregate demand, and inflation and employment projections stand out as the most relevant in accounting for changes in analysts' expectations. If the period of the COVID-19 pandemic is excluded, we still find that forecasters consider both types of information for their inflation expectations.
Subjects: 
Central bank projections
economic forecasting
machine learning
text mining
JEL: 
E52
E58
C55
Document Type: 
Working Paper
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