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Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets

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Author Info
Michael Berlemann ()
Forrest Nelson

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Abstract

While there are various techniques of inflation forecasting in use, none of them has proved to deliver consistently more accurate forecasts than the others. That is why most users of inflation forecasts monitor a variety of inflation indicators and forecasts and check them for consistency. This paper aims at contributing to an extension of themethods in use. We propose to conduct experimental inflation forecasting markets in order to uncover market participants' inflation expectations. While the markets directly deliver density forecasts of inflation they also allow to construct mean forecasts and a measure of forecast uncertainty. We also present evidence from a number of pilot markets underlining that the proposed method might enrich the arsenal of existing forecastingtechniques.

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Publisher Info
Paper provided by Ifo Institute for Economic Research at the University of Munich in its series Ifo Working Paper Series with number Ifo Working Papers No. 10.

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Date of creation: 2005
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Handle: RePEc:ces:ifowps:_10

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Related research
Keywords: Inflation forecast; field experiments; experimental stock markets.;

Find related papers by JEL classification:
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
F15 - International Economics - - Trade - - - Economic Integration
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

Cited by:
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  1. Stefan Günnel & Karl-Heinz Tödter, 2009. "Does Benford’s Law hold in economic research and forecasting?," Empirica, Springer, vol. 36(3), pages 273-292, August. [Downloadable!] (restricted)
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This page was last updated on 2009-10-31.


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