Abstract

http://ssrn.com/abstract=779948
 
 

References (66)



 
 

Citations (112)



 


 



Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Geert Bekaert


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Min Wei


Board of Governors of the Federal Reserve - Division of Monetary Affairs

August 2005

NBER Working Paper No. w11538

Abstract:     
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 optimal 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 using means or medians, or using optimal weights with prior information produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information.

Number of Pages in PDF File: 55

working papers series


Download This Paper

Date posted: September 19, 2005  

Suggested Citation

Ang, Andrew and Bekaert, Geert and Wei, Min, Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (August 2005). NBER Working Paper No. w11538. Available at SSRN: http://ssrn.com/abstract=779948

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Geert Bekaert
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Min Wei
Board of Governors of the Federal Reserve - Division of Monetary Affairs ( email )
20th and C Streets, NW
Washington, DC 20551
United States
Feedback to SSRN


Paper statistics
Abstract Views: 877
Downloads: 104
Download Rank: 37,684
References:  66
Citations:  112

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.375 seconds