Do Inflation Expectations Granger Cause Inflation?

Arbeitspapier

In this paper, we investigate whether survey measures of inflation expec-tations in Sweden Granger cause Swedish CPI-inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data from 1996 to 2016. It is found that the inclusion of inflation expectations in the models tends to improve forecast precision. However, the improvement is typically small enough that it could be described as economically irrelevant. One exception can possibly be found in the expectations of businesses in the National Insti-tute of Economic Research's Economic Tendency Survey; when included in the models, these improve forecast precision in a meaningful way at short horizons. Taken together, it seems that the inflation expectations studied here do not provide a silver bullet for those who try to improve VAR-based forecasts of Swedish inflation. The largest benefits from using these survey expectations may instead perhaps be found among analysts and policy makers; they can after all provide relevant information concerning, for example, the credibility of the inflation target or challenges that the central bank might face when conducting monetary policy.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 4/2016

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Economic Growth of Open Economies
• Thema: Bayesian VAR ; Granger causality ; Out-of-sample forecasts

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Stockhammar, Pär ; Österholm, Pär
• Ereignis: Veröffentlichung
• (wer): Örebro University School of Business
• (wo): Örebro
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/244519
• Letzte Aktualisierung: 20.09.2024, 08:23 MESZ