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Forecasting inflation with a zero lower bound or negative interest rates : evidence from point and density forecasts

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower bound (the US, the UK and Canada) and in those with negative rates (Japan, the Euro Area and Switzerland). Using shadow rates obtained from two different models (the Wu-Xia...

Persistent link: https://www.econbiz.de/10013176885

Disciplining expectations and the forward guidance puzzle

Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-39

Persistent link: https://www.econbiz.de/10013464694

Analysts versus the random walk in financial forecasting : evidence from the Czech National Bank's Financial Market Inflation Expectations Survey

Kladívko, Kamil; Österholm, Pär - 2022

Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables …-walk forecast for the repo rate and Prague Interbank Offered Rate at the onemonth forecasting horizon. For the five-year and ten … horizons. For the CZE/EUR exchange rate, no statistically significant differences in forecast precision were found. …

Persistent link: https://www.econbiz.de/10013469611

Econometrics of sentiments- sentometrics and machine learning : the improvement of inflation predictions in Romania using sentiment analysis

Bratu, Mihaela - In: Technological forecasting & social change : an … 182 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013449050

Forecasting Inflation

Stock, James H.; Watson, Mark W. - 2021

This paper investigates forecasts of U.S. inflation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out of sample forecasting framework. Inflation forecasts produced by the Phillips curve generally have been more...

Persistent link: https://www.econbiz.de/10013240950

Professionals forecasting inflation : the role of inattentiveness and uncertainty

Easaw, Joshy Z.; Golinelli, Roberto; Heravi, Saeed M. - 2022

The purpose of this paper is to investigate the nature of professionals’ inflation forecasts inattentiveness. We introduce and empirically investigate a new generalized model of inattentiveness due to informational rigidity. In doing so, we outline a novel model that considers the non-linear...

Persistent link: https://www.econbiz.de/10013178028

Monetary policy, inflation outlook, and recession probabilities

Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022

Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...

Persistent link: https://www.econbiz.de/10013279282

Predicting Inflation Expectations : A Habit-Based Explanation Under Hedging

Dunbar, Kwamie; Owusu-Amoako, Johnson - 2022

A key challenge for monetary policymakers is predicting the path of short-term inflation given the persistently flat Phillips curve of the last few years. A promising innovation involves modifying the hybrid-New Keynesian Phillips curve (NKPC) to include an interaction variable, reflecting the...

Persistent link: https://www.econbiz.de/10014238567

Central bank's forecasts and lack of transparency : an assessment of the effect on private expectations in a large emerging economy

Mendonça, Helder Ferreira de; Simão Filho, José; … - In: Economic systems 47 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014317384

The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations

Hagenhoff, Tim; Lustenhouwer, Joep - In: Journal of economic dynamics & control 149 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014285102