G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10419
DP10419 Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey
Sumru G. Altug; Cem Çakmaklı
发表日期2015-02-15
出版年2015
语种英语
摘要In this paper, we formulate a statistical model of inflation that combines data on survey expectations and the inflation target set by central banks.. Our model produces inflation forecasts that are aligned with survey expectations, thereby integrating the predictive power of the survey expectations together with the baseline model. We further incorporate the inflation target set by the monetary authority to examine the effectiveness of monetary policy in forming inflation expectations and therefore, predicting inflation accurately. Results indicate superior predictive power of the proposed framework compared to the model without survey expectations as well as several popular benchmarks such as the backward and forward looking Phillips curves and naive forecasting rule.
主题International Macroeconomics
关键词Inflation forecasting Inflation targeting State space models Survey-based expectation Term structure of inflation expectations
URLhttps://cepr.org/publications/dp10419
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/539251
推荐引用方式
GB/T 7714
Sumru G. Altug,Cem Çakmaklı. DP10419 Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey. 2015.
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