We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and...

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...

We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey - based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

The objective of this paper is to analyze the link between inflation expectations and actual inflation in the New EU Member States (NMS). To achieve this goal, the results of a qualitative consumer survey were transformed into a quantitative measure of inflation expectations using the...

This paper presents a new methodology for the quantification of qualitative survey data. Traditional conversion methods, such as the probability approach of Carlson and Parkin (1975) or the time-varying parameters model of Seitz (1988), require very restrictive assumptions concerning the...

This paper analyzes the inflation expectation formation empirically for German consumers. The expectation formation process is analyzed for a representative consumer and for different demographic groups. The results indicate that German consumers are a relatively homogeneous group. There are...

Conjectures about inflation expectations are inextricably linked to our understanding of the relationship between the real and monetary sides of the economy; yet, direct empirical research on the matter has been scarce at best. This paper therefore examines the empirical properties of inflation...

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...

We conducted a simple, anonymous survey at the beginning of 2014, asking around 200 economists worldwide to reveal their inflation expectations, conditional on either Ben Bernanke or Janet Yellen being the chair of the Board of Governors of the Federal Reserve. We use the change in the Fed's...