Exploring Survey‐Based Inflation Forecasts

Gil-Alana, Luís A.; Moreno, Antonio; Gracia, Fernando Pérez de

doi:10.1002/for.1235

Cited by 19 publications

(7 citation statements)

References 27 publications

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“…A variety of studies has found survey expectations of future inflation useful for constructing inflation forecasts, see for example Ang et al (2007) and Gil-Alana et al (2011). In evaluating the accuracy of survey expectations of inflation, Grant and Thomas (1999) argue that cointegration between survey responses and realized inflation is a weak requirement of rationality and find support for this hypothesis.…”

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confidence: 99%

Measuring the Level and Uncertainty of Trend Inflation

Mertens

2011

SSRN Journal

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Firmly-anchored inflation expectations are widely viewed as playing a central role in the successful conduct of monetary policy. This paper presents estimates of trend inflation, based on information contained in survey expectations, the term structure of interest rates, and realized inflation rates. My application combines a variety of data sources at the monthly frequency and it can flexibly handle missing data arising from infrequent observations and limited data availability. In order to assess whether inflation expectations are anchored, uncertainty surrounding future changes in trend inflation -measured by a time-varying volatility of trend shocks -is estimated as well.Not surprisingly, the estimates suggest that trend inflation in the U.S. rose and fell again over the 1970s and 1980s, accompanied by increases in uncertainty. Considering the recent crisis, full-sample estimates of trend inflation fell quite a bit, but not too dramatically. In contrast, real-time estimates recorded sizeable increases of trend uncertainty during the crisis of 2007/2008, which have abated since then.JEL Classification: C53, E37, E47, E58

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confidence: 99%

Measuring the Level and Uncertainty of Trend Inflation

Mertens

2011

SSRN Journal

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“…Equations and imply this idea, as the household updates the coefficient parameter based on the difference between its previous period's forecast and the experts' outlook on future price developments. Gil‐Alana, Moreno, and Pérez de Gracia () in fact show that survey‐based professional expectations outperform different time series models in out‐of‐sample prediction of inflation. As a measure for professional forecasts, we use monthly figures of inflation expectations for the current and the following year published by Consensus Economics.…”

Section: Different Learning Rulesmentioning

confidence: 97%

Learning dynamics in the formation of European inflation expectations

Bräuning

Cruijsen

2018

Journal of Forecasting

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We investigate learning dynamics in the formation of household inflation expectations in the six largest euro area countries. Our findings reveal heterogeneity in the learning rules that European households use to forecast inflation. We also find pronounced heterogeneity in the way consumers process new data. These differences vary not only across countries but also over time, suggesting that the learning behavior of households is state dependent.

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“…27 Another difference between between my work and the studies of Stock and Watson (2007), Cogley and Sargent (2005b) and Cogley et al (2010) is to condition inflation forecasts on survey data. A variety of studies has found survey expectations of future inflation useful for constructing inflation forecasts, see for example Ang et al (2007) and Gil-Alana et al (2011). In evaluating the accuracy of survey expectations of inflation, Grant and Thomas (1999) argue that cointegration between survey responses and realized inflation is a weak requirement of rationality and find support for this hypothesis.…”

Section: Related Literaturementioning

confidence: 99%

Measuring the Level and Uncertainty of Trend Inflation

Mertens

2011

FEDS

View full text Add to dashboard Cite

Firmly-anchored inflation expectations are widely viewed as playing a central role in the successful conduct of monetary policy. This paper presents estimates of trend inflation, based on information contained in survey expectations, the term structure of interest rates, and realized inflation rates. My application combines a variety of data sources at the monthly frequency and it can flexibly handle missing data arising from infrequent observations and limited data availability. In order to assess whether inflation expectations are anchored, uncertainty surrounding future changes in trend inflation-measured by a time-varying volatility of trend shocks-is estimated as well. Not surprisingly, the estimates suggest that trend inflation in the U.S. rose and fell again over the 1970s and 1980s, accompanied by increases in uncertainty. Considering the recent crisis, full-sample estimates of trend inflation fell quite a bit, but not too dramatically. In contrast, real-time estimates recorded sizeable increases of trend uncertainty during the crisis of 2007/2008, which have abated since then.

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Exploring Survey‐Based Inflation Forecasts

Cited by 19 publications

References 27 publications

Measuring the Level and Uncertainty of Trend Inflation

Measuring the Level and Uncertainty of Trend Inflation

Learning dynamics in the formation of European inflation expectations

Measuring the Level and Uncertainty of Trend Inflation

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