Publication:
Forecasting inflation using survey expectations and target inflation: evidence for Brazil and Turkey

Placeholder

Organizational Units

Program

KU Authors

Co-Authors

Advisor

Publication Date

Language

English

Journal Title

Journal ISSN

Volume Title

Abstract

In this paper, we formulate a statistical model of inflation that combines data on survey expectations with the inflation target set by central banks. Our model produces inflation forecasts that are aligned with survey expectations, thus integrating the predictive power of the survey expectations into the baseline model. Furthermore, we incorporate the inflation target set by the monetary authority in order to examine the effectiveness of monetary policy in forming inflation expectations, and therefore, in predicting inflation accurately. The results indicate that the predictive power of the proposed framework is superior to that of the model without survey expectations, as well as to the performances of several popular benchmarks, such as the backward- and forward-looking Phillips curves and a naive forecasting rule. (C) 2015 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Description

Source:

International Journal of Forecasting

Publisher:

Elsevier

Keywords:

Subject

Economics, Management

Citation

Endorsement

Review

Supplemented By

Referenced By

Copy Rights Note

0

Views

0

Downloads

View PlumX Details