A Study on Correlation between Web Search Data and CPI
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TL;DR
Empirical results indicated that there is a co-integration relationship between web search data and consumer price index (CPI), and a concept frame based on commodity market and equilibrium price theory was able to obtain a good fit with CPI.
Abstract
The web search data, which recorded hundreds of Millions of searchers concerns and interests, reflected the trends of their behavior and provided essential data basis for the study of macro-economic issues. This paper established a concept frame based on commodity market and equilibrium price theory, revealed a certain correlation and lead-lag relationship between web search data and consumer price index (CPI). Empirical results indicated that there is a co-integration relationship between web search data and CPI. The model was able to obtain a good fit with CPI. Model fitting is 0.978.