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Inflation expectations: Does the market beat econometric forecasts?

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  • El-Shagi, Makram

Abstract

The present paper compares expected inflation to (econometric) inflation forecasts based on a number of forecasting techniques from the literature using a panel of ten industrialized countries during the period from 1988 to 2007. To capture expected inflation, we develop a recursive filtering algorithm that extracts unexpected inflation from real interest rate data, even in the presence of diverse risks and a potential Mundell–Tobin-effect.

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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 22 (2011)
Issue (Month): 3 ()
Pages: 298-319

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Handle: RePEc:eee:ecofin:v:22:y:2011:i:3:p:298-319

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Web page: http://www.elsevier.com/locate/inca/620163

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Keywords: Inflation expectations; Inflation forecasts; Recursive filter;

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Cited by:
  1. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series, European Central Bank 1635, European Central Bank.
  2. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2013. "Does Central Bank Staff Beat Private Forecasters?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79925, Verein für Socialpolitik / German Economic Association.

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