Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models

Arturo Ormeno () and Krisztina Molnar
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Arturo Ormeno: Credit Suisse AG, Postal: Credit Suisse AG, Switzerland

No 20/2014, Discussion Paper Series in Economics from Norwegian School of Economics, Department of Economics

Abstract: Does survey data contain useful information for estimating macroeconomic models? We address this question by using survey data of inflation expectations to estimate the New Keynesian model by Smets and Wouters (2007) and compare its performance under rational expectations and adaptive learning. The survey information serves as an additional moment restriction and helps us to determine the learning agents' forecasting model for in ation. Adaptive learning fares similarly to rational expectations in fitting macro data, but clearly outperforms rational expectations in fitting macro and survey data simultaneously. In other words survey data contains additional information that is not present in the macro data alone.

Keywords: Survey data; learning; rational expectations; inflation expectations; Bayesian econometrics. (search for similar items in EconPapers)
JEL-codes: C61 D84 E30 E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2014-06-30
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (8)

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Journal Article: Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models (2015)
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