Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey

详细信息    查看全文

• 作者：Sumru Altug^a ; ^b ; ^{saltug@ku.edu.tr" class="auth_mail" title="E-mail the corresponding author}Author Vitae ; Cem Ç ; akmaklı^a ; ^c ; ^{C.Cakmakli@uva.nl" class="auth_mail" title="E-mail the corresponding author} ; ^{ccakmakli@ku.edu.tr" class="auth_mail" title="E-mail the corresponding author}Author Vitae
• 关键词：Inflation forecasting ; State space models ; Survey-based expectation ; Inflation targeting ; Term structure of inflation expectations
• 刊名：International Journal of Forecasting
• 出版年：2016
• 出版时间：January-March 2016
• 年：2016
• 卷：32
• 期：1
• 页码：138-153
• 全文大小：1105 K

文摘

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 naïve forecasting rule.