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

Aidan Meyler and Magdalena Grothe

No 1865, Working Paper Series from European Central Bank

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. JEL Classification: E31, E37, G13

Keywords: inflation expectations; inflation forecasting; inflation swap markets; market-based inflation expectations; survey-based inflation expectations; survey of professional forecasters (search for similar items in EconPapers)
Date: 2015-11
Note: 496790
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https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1865.en.pdf (application/pdf)

Related works:
Journal Article: Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative? (2018) Downloads
Working Paper: Inflation forecasts: Are market-based and survey-based measures informative? (2015) Downloads
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