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represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic …
Persistent link: https://www.econbiz.de/10005866191
from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation …, Survey of Professional Forecasters, and the Michigan Survey. While useful in developing models of forecasting inflation …This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed …
Persistent link: https://www.econbiz.de/10009647210
Michigan Surveys of Consumers. While these measures have been useful in developing models of forecasting inflation, the data …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 …
Persistent link: https://www.econbiz.de/10009650037
, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to …
Persistent link: https://www.econbiz.de/10009647399
for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no …
Persistent link: https://www.econbiz.de/10010295885
for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no … forecasts ; Bank of England inflation forecasts …
Persistent link: https://www.econbiz.de/10003740115
for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no …
Persistent link: https://www.econbiz.de/10012991122
models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high …For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey … frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many …
Persistent link: https://www.econbiz.de/10009647457
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...
Persistent link: https://www.econbiz.de/10012991040
We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular trends and cyclical changes of the predictive density of GDP growth, we find an accelerating decline in the skewness of the conditional distributions, with significant,...
Persistent link: https://www.econbiz.de/10013226483