IMF 2023 Working paper

Mining the Gap: Extracting Firms’ Inflation Expectations From Earnings Calls

Silvia Albrizio, Allan Gloe Dizioli and Pedro Vitale Simon

Albrizio, S. & Dizioli, A. G. & Simon, P. V., “Mining the Gap: Extracting Firms’ Inflation Expectations From Earnings Calls,” IMF Working Paper 2023/202 (2023).

Firms’ inflation expectations

Albrizio, Dizioli and Simon used NL Analytics to compute underlying firm-level indicators of firms’ inflation expectations and attention to monetary policy from earnings-call transcripts using their keyword dictionaries. Producing the published ECFIE indicators involves additional country- and firm-level filtering, cleaning, and seasonal-adjustment procedures. Repeating the keyword search alone does not reproduce the published series.

Original study coverage: The 2023 working paper covers publicly listed firms across 39 countries and more than 200,000 earnings-call transcripts.
Data and materials: Firm-level indicators and cross-country time series
Published indicators: IMF ECFIE (opens in a new tab or window)Current release: 37 countries; may differ from the 2023 study data.

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