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. The index captures the intensity of discussions related to firms’ inflation expectations and translates this information into a quantitative measure using regression analysis. The ECFIE index comes in both ways seasonally adjusted and not seasonally adjusted. The indicator has been shown to closely track available survey-based measures of firms’ one-year-ahead inflation expectations, providing a reliable alternative when such surveys are unavailable. In addition to the baseline index, the dataset includes: a firms inflation expectations disagreement indicator, defined as the cross-firm variance of ECFIE within each country; and MECFIE, a transformed version of the ECFIE mapped into percentage-change units, which allows for direct economic interpretability of the index values. 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.

Keywords: Inflation, Expectations, Firms.