Survey measures of inflation expectations in Poland: are they relevant from the macroeconomic perspective?

Abstract

This paper estimates different versions of the stylized New Keynesian model of the Polish economy, in which alternative measures of inflation expectations are used, that is, modelconsistent (rational) expectations and survey-based expectations of consumers, enterprises and financial sector analysts. To compare dynamic properties of the models, we analyse propagation of the interest rate impulse, exchange rate impulse and a permanent change of inflation target. Differences in impulse responses pose the question which model should be treated as the most adequate. Analysis of in-sample inflation forecasting errors suggests that the model with rational expectations displays the lowest forecasting accuracy, while the model using expectations of enterprises is the best-performing model. In more general terms, our analysis suggests the best way of exploiting survey data on inflation expectations is not by using them as separate forward-looking information, alternative to macroeconomic models, but by combining both types of information. ARTICLE HISTORY

How do oil price changes affect inflation in Central and Eastern European countries? A wavelet-based Markov switching approach

“…The common interest of all these economies is to sustain low and preferably converging inflation, which gravitates around the aggregate rate of inflation of the whole euro area (see e.g. Horvath & Koprnicka, 2008;Cocriş & Nucu, 2013;Živkov, Njegić, & Pećanac, 2014;Cavallo & Ribba, 2014;Goczek, 2015;Lyziak, 2016;Reigl, 2017). Hence, a reasonable understanding of the interdependence between oil and national inflations will help these economies in this effort.…”

The Impact of Financial Crisis and Low Inflation Environment on Short-Term Inflation Expectations in Poland

“…However, expectations that seem the most relevant from the macroeconomic perspective, i.e. enterprises' inflation expectations (� Lyziak, 2016), have been reduced significantly and remain close to zero. On the one hand it leads to relatively good forecasting properties of those expectations in the recent period, but on the other hand it can explain, at least in a part, persistently negative inflation figures in Poland.…”

“…Polish consumers seem strongly backwardlooking with their inflation perceptions depending on price increases of a relatively broad group of frequently purchased goods and services (Ha� lka and � Lyziak, 2015), however there are some signs of increasing degree of their forward-lookingness (� Lyziak and Mackiewicz-� Lyziak, 2014). Inflation expectations of Polish enterprises are found to plan an important role in the price formation (� Lyziak, 2016). The impact of forward-looking considerations on enterprises' expectations seems even stronger than in the case of financial sector analysts, whose expectations are anchored to the inflation target of the National Bank of Poland, even in the shortterm horizon.…”

Measuring the effects of inflation and inflation uncertainty on output growth in the central and eastern European countries

“…According to Friedman's (1977) theory, high and unstable inflation causes an increase in inflation uncertainty that distorts the information content of prices, which consequently spills over to the efficient allocation of resources. Some papers, such as Lyziak (2016) and Caglayan et al (2016), argued that in high inflation conditions, companies cannot detect profitable investment opportunities, because it impedes them to extract information about the relative prices of goods. In addition, during high-inflation times, external funds become prohibitively expensive due to increased information asymmetries.…”