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The Perils of Approximating Fixed-Horizon Inflation Forecasts with Fixed-Event Forecasts
Yetman, James - 2018
A common practice in studies using inflation forecasts is to approximate fixed-horizon forecasts with fixed-event ones. Here we show that this may be problematic. In a panel of US inflation forecast data that allows us to compare the two, the approximation results in a mean absolute...
Persistent link: https://www.econbiz.de/10012928064
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Daily House Price Indexes : Construction, Modeling, and Longer-Run Predictions
Bollerslev, Tim - 2013
We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure used in the construction of the popular...
Persistent link: https://www.econbiz.de/10013080702
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The bias and efficiency of the ECB inflation projections : a state dependent analysis
Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2021
We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic … (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is …
Persistent link: https://www.econbiz.de/10012544414
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Reporting Biases and Survey Results : Evidence from European Professional Forecasters
Garcia, Juan A.; Manzanares, Andres - 2021
Using data from the ECB's Survey of Professional Forecasters, we investigate the reporting practices of survey participants by comparing their point predictions and the mean/median/mode of their probability forecasts. We find that the individual point predictions, on average, tend to be biased...
Persistent link: https://www.econbiz.de/10013316742
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The bias and efficiency of the ECB inflation projections : a state dependent analysis
Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2021
We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic … (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is …
Persistent link: https://www.econbiz.de/10012508654
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The bias of the ECB inflation projections : a State-dependent analysis
Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2024
We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to … underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is … errors in the exogenous assumptions on interest rates, exchange rates or oil prices. The state-dependent bias may be …
Persistent link: https://www.econbiz.de/10014532443
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Weighted Median Inflation : Is this Core Inflation?
Smith, Julie K. - 2004
This paper investigates core inflation defined as the best predictor of US inflation. I compare forecasts obtained using the weighted median consumer price index inflation rate, a trimmed mean consumer price index inflation rate, the consumer price index inflation rate and the consumer price...
Persistent link: https://www.econbiz.de/10014073637
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The FRBNY Staff Underlying Inflation Gauge : UIG
Amstad, Marlene; Potter, Simon M.; Rich, Robert W. - 2014
Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...
Persistent link: https://www.econbiz.de/10010404156
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Developing an underlying inflation gauge for China
Amstad, Marlene; Huan, Ye; Ma, Guonan - 2014
The headline consumer price index (CPI) is often considered too noisy, narrowly defined, and/or slowly available for policymaking. On the other hand, traditional core inflation measures may reduce volatility but do not address other issues and may even exclude important information. This paper...
Persistent link: https://www.econbiz.de/10010412468
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Forecasting annual inflation with seasonal monthly data : using levels versus logs of the underlying price index
Lütkepohl, Helmut; Fang, Xu - 2009
Persistent link: https://www.econbiz.de/10003899914