I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused … on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the …

Many pricing models imply that nominal interest rates contain information on inflation expectations. This has lead to a … large empirical literature that investigates the use of interest rates as predictors of future inflation. Most of these … focus on the Fisher hypothesis in which the interest rate maturity matches the inflation horizon. In general forecast …

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled … indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic … that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual …

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed … from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation … Search Index (GISI) is assessed relative to 37 other indicators of inflation expectations – 36 survey measures and the TIPS …

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey … 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 …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR)of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …

In the paper we have investigated to what extent the behaviour of CPI inflation depends on changes in domestic economic … price indices respond to exchange rate movements and/or foreign inflation. The impact of exchange rate is most substantial …

The purpose of the paper is to present an efficient instrument for simulation and research of inflation and its … controlled prices as well as the impact of external shocks as international price of oil on future inflation in Romania. …