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Do the Measurements of Financial Market Inflation Expectations Yield Relevant Macroeconomic Information?

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Author Info
Martin Fukač () (Center for Economic Research and Graduate Education of Charles University, Prague; Economics Institute of the Academy of Sciences of the Czech Republic, Prague – CERGE-EI)

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Abstract

Monthly data concerning the inflation expectations of financial analysts in the Czech Republic exhibit a tendency for bias and ineffectiveness. This paper analyses, from a macroeconomic perspective, whether the surveyed data include any relevant macroeconomic information, specifically, whether the surveyed expectations correspond to market expectations considered in macroeconomic analysis and models. Using a methodology based on a simple Fisher rule, it is found that the difference between the surveyed and market inflation expectations is not statistically significant. From this perspective, it is concluded the surveyed inflation expectations bear economically relevant information.

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Publisher Info
Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 55 (2005)
Issue (Month): 7-8 (July)
Pages: 344-362
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Handle: RePEc:fau:fauart:v:55:y:2005:i:7-8:p:344-362

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Related research
Keywords: market inflation expectations; surveyed inflation expectations; Fisher rule;

Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

References listed on IDEAS
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  1. Hasan Bakhshi & Anthony Yates, . "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England. [Downloadable!]
  2. Athanasios Orphanides & John C. Williams, 2003. "Imperfect Knowledge, Inflation Expectations, and Monetary Policy," NBER Working Papers 9884, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Mankiw, N. Gregory & Reis, Ricardo & Wolfers, Justin, 2003. "Disagreement about Inflation Expectations," Research Papers 1807, Stanford University, Graduate School of Business. [Downloadable!]
    Other versions:
  4. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    Other versions:
  5. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
    Other versions:
  6. Frederic S. Mishkin, 1990. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. George W. Evans & Seppo Honkapohja, 2003. "Adaptive learning and monetary policy design," Proceedings, Federal Reserve Bank of Cleveland, pages 1045-1084.
    Other versions:
  8. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)
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Statistics
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