Do macro variables, asset markets, or surveys forecast inflation better?

Andrew Ang, Geert Bekaert and Min Wei

No 2006-15, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information.

Keywords: Inflation (Finance); Economic surveys; Economic forecasting (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for, nep-mac and nep-mon
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Citations: View citations in EconPapers (43)

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Related works:
Journal Article: Do macro variables, asset markets, or surveys forecast inflation better? (2007)
Working Paper: Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (2005)
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