Inflation forecasts: Are market-based and survey-based measures informative?

Magdalena Grothe and Aidan Meyler

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and United States. The results show that both, market-based and survey-based measures have a non-negligible predictive power for inflation developments, as compared to statistical benchmark models. Therefore, for horizons of one and two years ahead, market-based and survey-based inflation expectations actually convey information on future inflation developments.

Keywords: inflation expectations; inflation forecasting; inflation swap markets; market-based inflation expectations; Survey of Professional Forecasters; survey-based inflation expectations (search for similar items in EconPapers)
JEL-codes: E31 E37 G13 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-eec, nep-for, nep-mac, nep-mon and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Related works:
Journal Article: Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative? (2018)
Working Paper: Inflation forecasts: Are market-based and survey-based measures informative? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:66982

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