Earnings-Calls-based Firm Inflation Expectations (ECFIE)

The Earnings-Calls-based Firm Inflation Expectations (ECFIE) index is a proxy for firms’ near-term inflation expectations, constructed through text analysis of earnings call transcripts from publicly listed companies. In addition to ECFIE, the dataset includes: a firms inflation expectations disagreement indicator, defined as the cross-firm variance of ECFIE within each country; and Mapped Earnings-Calls-based Firm Inflation Expectations (MECFIE), a transformed version of the ECFIE mapped into percentage-change units, which maps the index into the same units as inflation expectations. A detailed description of the methodology, validation, and benchmarking is provided in the methodology note linked below. Suggested citation: Albrizio, S., Dizioli, A., and Simon, P. (2023). Mining the Gap: Extracting Firms’ Inflation Expectations from Earnings Calls. IMF Working Paper No. 2023/202. International Monetary Fund.