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Inflation Expectations: Does the Market Beat Professional Forecasts?

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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.

Language: Englisch

Bibliographic citation: Series: IWH Discussion Papers ; No. 16/2009

Classification: Wirtschaft
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications

Subject: Inflation Expectations, Rational Expectations, Inflation Forecasting
Inflationserwartungen
Rationale Erwartungen
Inflationsprognosen
Inflationserwartung
Rationale Erwartung
Inflation
Prognose
Vergleich
Schätzung
OECD-Staaten

Event: Geistige Schöpfung

(who): El-Shagi, Makram

Event: Veröffentlichung

(who): Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

(where): Halle (Saale)

(when): 2009

Handle: http://hdl.handle.net/10419/37066

URN: urn:nbn:de:101:1-200911033212

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

El-Shagi, Makram
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

Time of origin

2009

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