Inflation expectations: Does the market beat econometric forecasts?

The North American Journal of Economics and Finance, 2011, vol. 22, issue 3, 298-319

Abstract: The present paper compares expected inflation to (econometric) inflation forecasts based on a number of forecasting techniques from the literature using a panel of ten industrialized countries during the period from 1988 to 2007. To capture expected inflation, we develop a recursive filtering algorithm that extracts unexpected inflation from real interest rate data, even in the presence of diverse risks and a potential Mundell–Tobin-effect.

Keywords: Inflation expectations; Inflation forecasts; Recursive filter (search for similar items in EconPapers)
JEL-codes: E31 E37 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:22:y:2011:i:3:p:298-319

DOI: 10.1016/j.najef.2011.05.002

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