Professionals Forecast of the Inflation Gap and its Persistence

Joshy Easaw (), Saeed Heravi () and Huw Dixon
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Joshy Easaw: Cardiff Business School, http://business.cardiff.ac.uk/people/staff/joshy-easaw
Saeed Heravi: Cardiff Business School, http://business.cardiff.ac.uk/people/staff/saeed-heravi

No E2015/13, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: The purpose of the present paper is to investigate perceived inflation gap persistence using actual data of professional forecasts. We derive the unobserved perceived inflation gap persistence and using a state dependent model we estimate the non-linear persistence coefficient of inflation gap. Our main result is that for GDP deflator inflation, the estimates of persistence largely confirm the results obtained indirectly using a linear model. However, when we look at CPI inflation, we find that there is strong evidence for state-dependence and time variation.

Keywords: Perceived Inflation Gaps; Professional s Survey-based Forecasts; State-Dependent Models (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2015-10
New Economics Papers: this item is included in nep-for, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2015/13

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