 Survey measures of inflation expectations in Poland: are they relevant from the macroeconomic perspective?Baltic Journal of Economics, 2016, vol. 16, issue 1, 33-52 Abstract: This paper estimates different versions of the stylized New Keynesian model of the Polish economy, in which alternative measures of inflation expectations are used, that is, model-consistent (rational) expectations and survey-based expectations of consumers, enterprises and financial sector analysts. To compare dynamic properties of the models, we analyse propagation of the interest rate impulse, exchange rate impulse and a permanent change of inflation target. Differences in impulse responses pose the question which model should be treated as the most adequate. Analysis of in-sample inflation forecasting errors suggests that the model with rational expectations displays the lowest forecasting accuracy, while the model using expectations of enterprises is the best-performing model. In more general terms, our analysis suggests the best way of exploiting survey data on inflation expectations is not by using them as separate forward-looking information, alternative to macroeconomic models, but by combining both types of information. Keywords: Inflation expectations; survey; New Keynesian model; monetary transmission mechanism; Poland (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bic:journl:v:16:y:2016:i:1:p:33-52 Access Statistics for this article More articles in Baltic Journal of Economics from Baltic International Centre for Economic Policy Studies Contact information at EDIRC. |
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