Do the Measurements of Financial Market Inflation Expectations Yield Relevant Macroeconomic Information?

Martin Fukaè ()
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Martin Fukaè: Center for Economic Research and Graduate Education of Charles University, Prague; Economics Institute of the Academy of Sciences of the Czech Republic, Prague – CERGE-EI
Authors registered in the RePEc Author Service: Martin Fukač

Czech Journal of Economics and Finance (Finance a uver), 2005, vol. 55, issue 7-8, 344-362

Abstract: Monthly data concerning the inflation expectations of financial analysts in the Czech Republic exhibit a tendency for bias and ineffectiveness. This paper analyses, from a macroeconomic perspective, whether the surveyed data include any relevant macroeconomic information, specifically, whether the surveyed expectations correspond to market expectations considered in macroeconomic analysis and models. Using a methodology based on a simple Fisher rule, it is found that the difference between the surveyed and market inflation expectations is not statistically significant. From this perspective, it is concluded the surveyed inflation expectations bear economically relevant information.

Keywords: market inflation expectations; surveyed inflation expectations; Fisher rule (search for similar items in EconPapers)
JEL-codes: C52 E43 E44 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:55:y:2005:i:7-8:p:344-362

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