investigacionPublicaciones_tit

Publicaciones

Publicaciones

Publicador de contenidos

Volver Exploring Survey-Based Inflation Forecasts

WPnull/11 Exploring Survey-Based Inflation Forecasts
Download (316 Kb)

Authors

Abstract
This paper first shows that survey-based expectations (SBE) outperform standard time series models in U.S. 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 recent financial crisis.

Classification JEL:E31, E37, E43, E44

Keywords:Inflation Forecasting, Disaggregation, Surveys, Time Series, ARIMA Models, Long Memory Time Series

Number of Pages:44

Creation Date:2011-01-22

Number:null/11

contacto-publicaciones_raul_bajo

Contacto

Raúl Bajo

Raúl Bajo

Campus Universitario

31009 Pamplona, España

+34 948 42 56 00

banner-revistas

Biblioteca para investigadores

+ info