Are Qualitative Inflation Expectations Useful to Predict Inflation?:
This paper examines the properties of qualitative inflation expectations collected from economic experts for Germany. It describes their characteristics relating to rationality and Granger causality. An out-of-sample simulation study investigates whether this indicator is suitable for inflation fore...
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| Main Author: | |
|---|---|
| Format: | Electronic Book Chapter |
| Language: | English |
| Published: |
Paris
OECD Publishing
2011
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| Subjects: | |
| Online Access: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Summary: | This paper examines the properties of qualitative inflation expectations collected from economic experts for Germany. It describes their characteristics relating to rationality and Granger causality. An out-of-sample simulation study investigates whether this indicator is suitable for inflation forecasting. Results from other standard forecasting models are considered and compared with models employing survey measures. We find that a model using survey expectations outperforms most of the competing models. Moreover, we find some evidence that the survey indicator already contains information from other model types (e.g. Phillips curve models). However, the forecast quality may be further improved by completely taking into account information from some financial indicators |
| Physical Description: | 1 Online-Ressource (26 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2011-5kgg5k52xb5c |
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| spelling | Scheufele, Rolf Verfasser aut Are Qualitative Inflation Expectations Useful to Predict Inflation? Rolf Scheufele Paris OECD Publishing 2011 1 Online-Ressource (26 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier This paper examines the properties of qualitative inflation expectations collected from economic experts for Germany. It describes their characteristics relating to rationality and Granger causality. An out-of-sample simulation study investigates whether this indicator is suitable for inflation forecasting. Results from other standard forecasting models are considered and compared with models employing survey measures. We find that a model using survey expectations outperforms most of the competing models. Moreover, we find some evidence that the survey indicator already contains information from other model types (e.g. Phillips curve models). However, the forecast quality may be further improved by completely taking into account information from some financial indicators Economics https://doi.org/10.1787/jbcma-2011-5kgg5k52xb5c Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Scheufele, Rolf Are Qualitative Inflation Expectations Useful to Predict Inflation? Economics |
| title | Are Qualitative Inflation Expectations Useful to Predict Inflation? |
| title_auth | Are Qualitative Inflation Expectations Useful to Predict Inflation? |
| title_exact_search | Are Qualitative Inflation Expectations Useful to Predict Inflation? |
| title_exact_search_txtP | Are Qualitative Inflation Expectations Useful to Predict Inflation? |
| title_full | Are Qualitative Inflation Expectations Useful to Predict Inflation? Rolf Scheufele |
| title_fullStr | Are Qualitative Inflation Expectations Useful to Predict Inflation? Rolf Scheufele |
| title_full_unstemmed | Are Qualitative Inflation Expectations Useful to Predict Inflation? Rolf Scheufele |
| title_short | Are Qualitative Inflation Expectations Useful to Predict Inflation? |
| title_sort | are qualitative inflation expectations useful to predict inflation |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-2011-5kgg5k52xb5c |
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