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The Properties of Survey-Based Inflation Expectations in Sweden

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  • Jonsson, Thomas

    ()
    (National Institute of Economic Research)

  • Österholm, Pär

    ()
    (National Institute of Economic Research)

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

Paper provided by National Institute of Economic Research in its series Working Paper with number 114.

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Length: 31 pages
Date of creation: 01 Dec 2009
Date of revision:
Handle: RePEc:hhs:nierwp:0114

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Keywords: Survey data; Inflation targeting;

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References

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  1. Sharon Kozicki & Peter Tinsley, 2004. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  2. Basdevant, Olivier, 2005. "Learning process and rational expectations: An analysis using a small macro-economic model for New Zealand," Economic Modelling, Elsevier, vol. 22(6), pages 1074-1089, December.
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  14. Thomas Jonsson & Pär Österholm, 2012. "The properties of survey-based inflation expectations in Sweden," Empirical Economics, Springer, vol. 42(1), pages 79-94, February.
  15. Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008. "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, vol. 6(1), pages 122-157, 03.
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  17. Beechey, Meredith & Österholm, Pär, 2010. "Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors," International Journal of Forecasting, Elsevier, vol. 26(2), pages 248-264, April.
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  19. 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).
  20. Beechey, Meredith & Österholm, Pär, 2009. "Time-varying inflation persistence in the Euro area," Economic Modelling, Elsevier, vol. 26(2), pages 532-535, March.
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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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