An inflation expectations horserace

Giselle Guzman

MPRA Paper from University Library of Munich, Germany

Abstract: For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many previously unexploited monthly and real-time measures of inflation expectations. These higher frequency measures tend to outperform the standard three low frequency survey measures in tests of accuracy, predictive power, and rationality, indicating that there are benefits to using higher frequency measures of inflation expectations. Out of sample forecasts confirm the findings.

Keywords: Inflation; expectations; surveys; households; economists; rationality; efficiency; unbiasedness; forecast accuracy; out-of-sample forecasts; Granger Causality; high-frequency data; price level; money and prices; CPI; PPI; PCE (search for similar items in EconPapers)
JEL-codes: A10 C00 C01 C02 C10 C12 C13 C19 C42 C51 C52 C53 C81 C82 D01 D03 D10 D84 E00 E24 E30 E31 E32 E37 E44 E47 E51 G00 G10 G14 Y40 (search for similar items in EconPapers)
Date: 2010-01-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/40233/2/MPRA_paper_40233.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36511

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