Recent studies have emphasized that survey-based inflation risk measures are informative about future inflation, and thus are useful for monetary authorities. However, these data are typically only available at a quarterly frequency, whereas monetary policy decisions require a more frequent...

We evaluate the ability of several univariate models to predict inflation in the US and in a number of inflation targeting countries at different forecasting horizons. We focus on forecasts coming from a family of ten seasonal models that we call the Driftless Extended Seasonal ARIMA (DESARIMA)...

This paper tests the rationality of inflation forecasts surveyed in Mexico, Brazil, and Chile and identifies their recent formation rule. There is strong evidence that forecasts are unbiased, but forecasters have not been fully efficient in the use of available information. The paper assesses...

The study investigates the existence and extent of information rigidity in inflation forecasts among 25 developed and 18 developing economies during 2002-2017 period utilizing a survey data set never explored before on this issue. In general, the study finds some evidence of information...

It is recognised that the understanding and accurate forecasts of key macroeconomic variables are fundamental for the success of any economic policy. In the case of monetary policy, many efforts have been made towards understanding the relationship between past and expected values of inflation,...

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information...

This paper studies uncertainty using the ECB Survey of Professional Forecasters’ data. We consider both inflation and real GDP growth forecasts at the micro level and explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts...

This paper studies forecasts errors at the micro level using two alternative survey data sets. The main focus is on inflation and real GDP growth forecasts in the ECB Survey of Professional Forecasters. For comparison, inflation forecasts in the US Survey of Professional Forecasters are also...

This paper examines aggregated inflation expectations based on the ECB Survey of Professional Forecasters (ECB SPF). We analyse possible impacts of changing panel composition on short and long term point forecasts and forecast uncertainties using approach, which is based on a set of sub-panels...