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Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

Andrew Ang (), Geert Bekaert () and Min Wei

No 11538, NBER Working Papers from National Bureau of Economic Research, Inc

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 optimal 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 using means or medians, or using optimal weights with prior information produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information.

JEL-codes: E31 E37 E43 E44 (search for similar items in EconPapers)
Date: 2005-08
New Economics Papers: this item is included in nep-ecm, nep-for, nep-mac and nep-mon
Note: AP EFG
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Published as Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.

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Journal Article: Do macro variables, asset markets, or surveys forecast inflation better? (2007) Downloads
Working Paper: Do macro variables, asset markets, or surveys forecast inflation better? (2006) Downloads
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