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The Evolution of Inflation Expectations in Canada and the US

Yetman, James - 2015

inflation as the forecast horizon shortens. Fitting the model with forecaster-level data for Canada and the US, we identify … considerably lower for the panel of Canadian forecasters than US ones following Canada's adoption of inflation targets. And third …, forecasters in Canada look much more alike than those in the US in terms of the weight that they place on the anchor. One …

Persistent link: https://www.econbiz.de/10013013629

Inflation Dynamics and Inflation Uncertainty in a Model with Heterogeneous Forecasts

Brock, William A. - 2015

Recent research in macroeconomics has sought to develop a tractable form of heterogeneity in attempting to model sluggishness of response of the economy consistent with data. Sims (2003) argued that limited information processing was a promising avenue for understanding pervasive stickiness....

Persistent link: https://www.econbiz.de/10013031084

What Can Probability Forecasts Tell Us About Inflation Risks?

Garcia, Juan Angel - 2007

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …

Persistent link: https://www.econbiz.de/10012775829

Disagreement as a Measure of Uncertainty

Bomberger, William A. - 1998

This paper presents evidence from the Livingston survey of inflation forecasts that forecaster disagreement provides a useful measure of forecast uncertainty. The evidence is analogous to the evidence for ARCH effects. Disagreement at the time of the forecast has a large positive effect on the...

Persistent link: https://www.econbiz.de/10014115041

Inflation Forecasting from Cross-Sectional Stocks

Hong, Claire Yurong; Pan, Jun; Tian, Shiwen - 2022

This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to headline inflation shocks during the calendar month of...

Persistent link: https://www.econbiz.de/10014237097

Trimmed-mean inflation statistics : just hit the one in the middle

Meyer, Brent; Venkatu, Guhan - 2014

This paper reinvestigates the performance of trimmed-mean inflation measures some 20 years since their inception, asking whether there is a particular trimmed-mean measure that dominates the median consumer price index (CPI). Unlike previous research, we evaluate the performance of symmetric and...

Persistent link: https://www.econbiz.de/10010251647

Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach

Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015

modelling the nominal and inflation-indexed bond yields jointly for each country. The Nelson-Siegel model is popular in fitting …

Persistent link: https://www.econbiz.de/10011389060

Inflation decomposition model : application to Macedonian inflation

Andonova, Danica Unevska - 2018

The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by macroeconomic model of NBRM for monetary policy analysis and medium term projections (MAKPAM), into its components: food, energy and core inflation. The model for inflation...

Persistent link: https://www.econbiz.de/10011926820

The impact of news on US household inflation expectations

Chao, Shih-Kang; Härdle, Wolfgang; Sheen, Jeffrey R.; … - 2017

Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when controlling for household personal characteristics, their perceptions of the...

Persistent link: https://www.econbiz.de/10011657291

Professionals' forecast of the inflation gap and its persistence

Easaw, Joshy Z.; Heravi, Saeed M.; Dixon, Huw - 2015

The purpose of the present paper is to investigate perceived inflation gap persistence using actual data of professional forecasts. We derive the unobserved perceived inflation gap persistence and using a state dependent model we estimate the non-linear persistence coefficient of inflation gap....

Persistent link: https://www.econbiz.de/10011471470