They look at two potential uses of the data: "now-casting", which aims to provide information on current conditions which bypasses the normal lag periods of official economic and financial data, and more traditional forecasting.
For now-casting, they use Google search data to anticipate a weekly index of mortgage refinancing. They find that "the search index increases the R2 by about 10 percentage points and is highly statistically significant, which suggests that the search data have information not captured by the model’s other variables". Real-time information on a weekly index may not be particularly useful, however the appendix cites what may be more interesting research:
They find search data less useful when attempting to forecast: "using Internet search data to predict financial market movements is a more fraught exercise. We could not forecast gold prices, European sovereign spreads, interbank rates, and equity market implied volatility with models using search data". However they have better results in markets that may contain less open information, such as renminbi (the Chinese currency) forecasting. This seems an interesting area, however countries which have restricted economic and/or financial information are also more likely to place restrictions on Internet access and usage.
"Askitas and Zimmermann (2009) show strong correlations between search data and German unemployment. D’Amuri (2009) of the Bank of Italy finds that an Internet-search-based measure is superior to other leading indicators in predicting Italian unemployment. D’Amuri and Marcucci (2009) find that augmenting models of the U.S. unemployment rate with an Internet job-search indicator outperforms traditional forecasting methods and the Survey of Professional Forecasters. Suhoy (2009) of the Bank of Israel finds search data to be a good predictor of labor market conditions in that country."
The post and the appendix contain many more references.
On a side note, the post also helps with language skills: 人民, or rénmín, is people's and 币, or bì, is currency. 人民币 = people's currency, or renminbi. Pronunciation is left to the reader.