Do macro variables, asset markets or surveys forecast inflation better?:
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 specif...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | Working paper series / National Bureau of Economic Research
11538 |
| Online Access: | Volltext |
| Summary: | 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. |
| Physical Description: | 53 S. graph. Darst. 22 cm |
Staff View
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| spelling | Ang, Andrew Verfasser (DE-588)124420907 aut Do macro variables, asset markets or surveys forecast inflation better? Andrew Ang ; Geert Bekaert ; Min Wei Cambridge, Mass. National Bureau of Economic Research 2005 53 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 11538 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. Bekaert, Geert 1964- Verfasser (DE-588)128834927 aut Wei, Min 1975- Verfasser (DE-588)129357472 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 11538 (DE-604)BV002801238 11538 http://papers.nber.org/papers/w11538.pdf kostenfrei Volltext |
| spellingShingle | Ang, Andrew Bekaert, Geert 1964- Wei, Min 1975- Do macro variables, asset markets or surveys forecast inflation better? |
| title | Do macro variables, asset markets or surveys forecast inflation better? |
| title_auth | Do macro variables, asset markets or surveys forecast inflation better? |
| title_exact_search | Do macro variables, asset markets or surveys forecast inflation better? |
| title_exact_search_txtP | Do macro variables, asset markets or surveys forecast inflation better? |
| title_full | Do macro variables, asset markets or surveys forecast inflation better? Andrew Ang ; Geert Bekaert ; Min Wei |
| title_fullStr | Do macro variables, asset markets or surveys forecast inflation better? Andrew Ang ; Geert Bekaert ; Min Wei |
| title_full_unstemmed | Do macro variables, asset markets or surveys forecast inflation better? Andrew Ang ; Geert Bekaert ; Min Wei |
| title_short | Do macro variables, asset markets or surveys forecast inflation better? |
| title_sort | do macro variables asset markets or surveys forecast inflation better |
| url | http://papers.nber.org/papers/w11538.pdf |
| volume_link | (DE-604)BV002801238 |
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