Exploring Survey-Based Inflation Forecasts
Article first published online: 11 APR 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 31, Issue 6, pages 524–539, September 2012
How to Cite
Gil-Alana, L., Moreno, A. and Pérez de Gracia, F. (2012), Exploring Survey-Based Inflation Forecasts. J. Forecast., 31: 524–539. doi: 10.1002/for.1235
- Issue published online: 13 AUG 2012
- Article first published online: 11 APR 2011
- inflation forecasting;
- time Series;
- ARIMA models;
- long-memory time series
This paper first shows that survey-based expectations (SBE) outperform standard time series models in US 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 2008 financial crisis. Copyright © 2011 John Wiley & Sons, Ltd.