An Inflation Expectations Horserace
Economic Alchemy LLC
January 25, 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many previously unexploited monthly and real-time measures of inflation expectations. These higher frequency measures tend to outperform the standard three low frequency survey measures in tests of accuracy, predictive power, and rationality, indicating that there are benefits to using higher frequency measures of inflation expectations. Out of sample forecasts confirm the findings.
Number of Pages in PDF File: 43
Keywords: Inflation, expectations, surveys, households, economists, rationality, efficiency, unbiasedness, forecast accuracy, out-of-sample forecasts, Granger Causality, high-frequency data, price level, money and prices, CPI, PPI, PCE
JEL Classification: A10, C10, C12, C13, C22, C40, C42, C50, C51, C52, C53, C82, D84, E00, E30, E31, E37, E40, E44, E58working papers series
Date posted: February 14, 2012 ; Last revised: June 13, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 1.250 seconds