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The properties of survey-based inflation expectations in Sweden

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  • Thomas Jonsson

    ()

  • Pär Österholm

    ()

Abstract

This paper assesses the properties of survey-based inflation expectations in Sweden. The survey is conducted by Prospera once every quarter and consists of respondents from businesses and labour-market organisa-tions. The paper shows that inflation expectations measured in this sur-vey tend to be biased and inefficient forecasts of future inflation. Results also indicate that long-run inflation expectations are overly adaptive with respect to actual inflation. Finally, evaluations of forecast accuracy show that these inflation expectations are worse predictors of inflation than those of a professional forecasting institution and also typically outper-formed by a simple autoregressive model. Overall, our results indicate that economic agents’ expectations formation process is suboptimal and/or the survey fails to capture the true inflation expectations.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 42 (2012)
Issue (Month): 1 (February)
Pages: 79-94

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Handle: RePEc:spr:empeco:v:42:y:2012:i:1:p:79-94

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Related research

Keywords: Survey data; Inflation targeting; E52;

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References

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  1. Rudebusch, Glenn D & Svensson, Lars E O, 1998. "Policy Rules for Inflation Targeting," CEPR Discussion Papers 1999, C.E.P.R. Discussion Papers.
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  3. Jonsson, Thomas & Österholm, Pär, 2009. "The Properties of Survey-Based Inflation Expectations in Sweden," Working Paper 114, National Institute of Economic Research.
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  14. Beechey, Meredith, 2004. "Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond Markets," Working Paper Series 173, Sveriges Riksbank (Central Bank of Sweden).
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Cited by:
  1. Beechey, Meredith & Österholm, Pär, 2012. "Policy Interest-Rate Expectations in Sweden: A Forecast Evaluation," Working Paper 127, National Institute of Economic Research.
  2. Thomas Jonsson & Pär Österholm, 2012. "The properties of survey-based inflation expectations in Sweden," Empirical Economics, Springer, vol. 42(1), pages 79-94, February.

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