Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets

Michael Berlemann (michael.berlemann@hsu-hh.de) and Forrest Nelson

No 10, ifo Working Paper Series from ifo Institute - Leibniz Institute for Economic Research at the University of Munich

Abstract: While there are various techniques of inflation forecasting in use, none of them has proved to deliver consistently more accurate forecasts than the others. That is why most users of inflation forecasts monitor a variety of inflation indicators and forecasts and check them for consistency. This paper aims at contributing to an extension of the methods in use. We propose to conduct experimental inflation forecasting markets in order to uncover market participants' inflation expectations. While the markets directly deliver density forecasts of inflation they also allow to construct mean forecasts and a measure of forecast uncertainty. We also present evidence from a number of pilot markets underlining that the proposed method might enrich the arsenal of existing forecasting techniques.

JEL-codes: E58 F15 F33 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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