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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| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2011
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| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 Online-Ressource (26 p.) 21 x 28cm. |
| DOI: | 10.1787/jbcma-2011-5kgg5k52xb5c |
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| spelling | Scheufele, Rolf VerfasserIn aut Are Qualitative Inflation Expectations Useful to Predict Inflation? Rolf, Scheufele Paris OECD Publishing 2011 1 Online-Ressource (26 p.) 21 x 28cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 Enthalten in OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2011, no. 1, p. 29-53 volume:2011 year:2011 number:1 pages:29-53 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-2011-5kgg5k52xb5c 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_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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