Arbeitspapier
Inflation Expectations: Does the Market Beat Professional Forecasts?
The present paper compares expected inflation to (econometric) inflation forecasts based on a number of forecasting techniques from the literature using a panel of ten industrialized countries during the period of 1988 to 2007. To capture expected inflation we develop a recursive filtering algorithm which extracts unexpected inflation from real interest rate data, even in the presence of diverse risks and a potential Mundell-Tobin-effect. The extracted unexpected inflation is compared to the forecasting errors of ten econometric forecasts. Beside the standard AR(p) and ARMA(1,1) models, which are known to perform best on average, we also employ several Phillips curve based approaches, VAR, dynamic factor models and two simple model avering approaches.
- Sprache
-
Englisch
- Erschienen in
-
Series: IWH Discussion Papers ; No. 16/2009
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Inflation Expectations, Rational Expectations, Inflation Forecasting
Inflationserwartungen
Rationale Erwartungen
Inflationsprognosen
Inflationserwartung
Rationale Erwartung
Inflation
Prognose
Vergleich
Schätzung
OECD-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
El-Shagi, Makram
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
- (wo)
-
Halle (Saale)
- (wann)
-
2009
- Handle
- URN
-
urn:nbn:de:101:1-200911033212
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- El-Shagi, Makram
- Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Entstanden
- 2009
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