Understanding Survey Based Inflation Expectations

Travis Berge

No 2017-046, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Survey based measures of inflation expectations are not informationally efficient yet carry important information about future inflation. This paper explores the economic significance of informational inefficiencies of survey expectations. A model selection algorithm is applied to the inflation expectations of households and professionals using a large panel of macroeconomic data. The expectations of professionals are best described by different indicators than the expectations of households. A forecast experiment finds that it is difficult to exploit informational inefficiencies to improve inflation forecasts, suggesting that the economic cost of the surveys' deviation from rationality is not large.

Keywords: Informational efficiency; Phillips curve; Survey based inflation expectations; Boosting; Inflation forecasting; Machine learning (search for similar items in EconPapers)
JEL-codes: C53 E31 E37 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2017-04
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Understanding survey-based inflation expectations (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2017-46

DOI: 10.17016/FEDS.2017.046

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