Exploring Survey-Based Inflation Forecasts

Luis Gil-Alana, Antonio Moreno () and Fernando Pérez de Gracia ()

No 05/11, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This paper first shows that survey-based expectations (SBE) outperform standard time series models in U.S. quarterly inflation out-of-sample prediction and that the term structure of survey-based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey-based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the recent financial crisis.

Keywords: Inflation Forecasting; Disaggregation; Surveys; Time Series; ARIMA Models; Long Memory Time Series (search for similar items in EconPapers)
JEL-codes: E31 E37 E43 E44 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2011-01-22
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Exploring Survey‐Based Inflation Forecasts (2012)
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