Finance and Economics Discussion Series: Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better

Ann F Kaplan Professor of Business Andrew Ang

ISBN 10: 1288711018 / ISBN 13: 9781288711017

Published by Bibliogov, 2013

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Bibliographic Details

• Title: Finance and Economics Discussion Series: Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better
• Publisher: Bibliogov
• Publication Date: 2013
• Language: English
• ISBN 10: 1288711018
• ISBN 13: 9781288711017
• Binding: Paperback / softback
• Condition: New
• Weight: 171 grams

About this title

Synopsis

Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information.