Professionals Inflation Forecasts: The Two Dimensions Of Forecaster Inattentiveness

Sectoral and aggregate inflation dynamics in the euro area

Joshy Easaw and Roberto Golinelli

Oxford Economic Papers, 2022, vol. 74, issue 3, 701-720

Abstract: This article explores professionals’ inflation forecasts, specifically the structure of their forecast error. Recent papers considering professionals’ inflation forecast have focused on the role of forecaster inattentiveness. We consider a new additional dimension of inattentiveness which is observed when forecasters form multi-period forecasts, and implicitly their perceived momentum of inflation. The present analysis introduces a novel model that is investigated empirically using survey-based data for the US. It establishes a new structure for the professionals’ forecast error accounting for both dimensions of inattentiveness, which relates respectively to forecast updating and multi-period forecasting in each period.

JEL-codes: E3 E4 E5 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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