Exploring Survey‐Based Inflation Forecasts

Luis A. Gil-Alana · Antonio Moreno · Fernando Pérez de Gracia

31 citations0/0 files storedJournal of Forecasting

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

ABSTRACT This paper first shows that survey‐based expectations (SBE) outperform standard time series models in US quarterly inflation out‐of‐sample prediction and that the term structure of survey‐based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey‐based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the 2008 financial crisis. Copyright © 2011 John Wiley & Sons, Ltd.

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References

1976Econometric policy evaluation: A critique 1961Rational Expectations and the Theory of Price Movements 2007Why Has U.S. Inflation Become Harder to Forecast?2004Some Evidence on the Importance of Sticky Prices 2002Some Evidence on the Importance of Sticky Prices 2003Macroeconomic Expectations of Households and Professional Forecasters 1994Efficient Tests of Nonstationary Hypotheses 2007Do macro variables, asset markets, or surveys forecast inflation better?

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2011Measuring the Level and Uncertainty of Trend Inflation

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