Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

inflation rates of Turkey and propose a new weighting scheme, the time-varying simple weighting method. Our guiding principle … prospective credibility of the inflation-targeting regime of the central bank of the Republic of Turkey …

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

We provide a new perspective on disagreement in inflation expectations by examining the full probability distributions … of UK consumer inflation forecasts based on an adaptive bootstrap multimodality test. Furthermore, we compare the … inflation forecasts of the Bank of England's Monetary Policy Committee (MPC) with those of UK consumers, for which we use data …

-area inflation. As in a Phillips curve relationship we assume that inflation quantiles depend on past inflation, the output gap, and … distribution. Overall, the quantile regression approach describes the distribution of inflation better than a benchmark univariate … trend-cycle model with stochastic volatility, which is known to perform very well in forecasting inflation. In an out …

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate …

In this paper we argue that future inflation in an economy depends on the way people perceive current inflation, their … inflation sentiment. We construct some simple measures of inflation sentiment which capture whether price acceleration is shared … by many components of the CPI basket. In a comparative analysis of the forecasting power of the different inflation …

Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects … the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries … in the forecasters' costs of over- and under-predicting inflation. Our model implies (i) biased forecasts; (ii) positive …

The difficulty in modelling inflation and the significance in discovering the underlying data generating process of … inflation is expressed in an ample literature regarding inflation forecasting. In this paper we evaluate nonlinear machine … learning and econometric methodologies in forecasting the U.S. inflation based on autoregressive and structural models of the …