IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/75912.html
   My bibliography  Save this paper

Heterogeneidad y Racionalidad en las Expectativas de Inflación: Evidencia desagregada para República Dominicana
[Heterogeneity and Rationality of Inflation Expectations: Disaggregated Evidence for the Dominican Republic]

Author

Listed:
  • Jiménez Polanco, Miguel Alejandro
  • Lopez Hawa, Nabil

Abstract

Inflation expectations play a key role for a central bank under an inflation targeting regime. This paper analyses the inflation expectations of economic agents answering the Survey of Macroeconomic Expectations run by the Central Bank of the Dominican Republic (BCRD). Data is dis-aggregated by groups: academics, bankers, consultants, international organizations and firms. The main findings show: a) a learning process seen by a reduction of forecasting errors when predicting future inflation; b) heterogeneity of inflation expectations among different groups; and by last, c) data fails rationality tests related to rational and adaptive expectations; results suggest partial use of public information and a significant bias by agents.

Suggested Citation

  • Jiménez Polanco, Miguel Alejandro & Lopez Hawa, Nabil, 2014. "Heterogeneidad y Racionalidad en las Expectativas de Inflación: Evidencia desagregada para República Dominicana [Heterogeneity and Rationality of Inflation Expectations: Disaggregated Evidence for ," MPRA Paper 75912, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:75912
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/75912/1/MPRA_paper_75912.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. anonymous, 2001. "Monetary policy report to the Congress, July 18, 2001," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Aug, pages 501-527.
    2. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
    3. N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2004. "Disagreement about Inflation Expectations," NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 209-270, National Bureau of Economic Research, Inc.
    4. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-735, September.
    5. Mishkin, Frederic S. & Savastano, Miguel A., 2001. "Monetary policy strategies for Latin America," Journal of Development Economics, Elsevier, vol. 66(2), pages 415-444, December.
    6. Frederic S. Miskin & Klaus Schmidt-Hebbel, 2007. "Does Inflation Targeting Make a Difference?," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 9, pages 291-372, Central Bank of Chile.
    7. Henry Sabrowski, 2008. "Inflation Expectation Formation of German Consumers: Rational or Adaptive?," Working Paper Series in Economics 100, University of Lüneburg, Institute of Economics.
    8. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
    9. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    10. Rose Cunningham & Brigitte Desroches & Eric Santor, 2010. "Inflation Expectations and the Conduct of Monetary Policy: A Review of Recent Evidence and Experience," Bank of Canada Review, Bank of Canada, vol. 2010(Spring), pages 13-25.
    11. Carl E. Walsh, 2009. "Inflation Targeting: What Have We Learned?," International Finance, Wiley Blackwell, vol. 12(2), pages 195-233, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    2. Timmermann, Allan & Qu, Ritong & Zhu, Yinchu, 2019. "Do Any Economists Have Superior Forecasting Skills?," CEPR Discussion Papers 14112, C.E.P.R. Discussion Papers.
    3. Timmermann, Allan & Zhu, Yinchu, 2019. "Comparing Forecasting Performance with Panel Data," CEPR Discussion Papers 13746, C.E.P.R. Discussion Papers.
    4. João C. Claudio & Katja Heinisch & Oliver Holtemöller, 2020. "Nowcasting East German GDP growth: a MIDAS approach," Empirical Economics, Springer, vol. 58(1), pages 29-54, January.
    5. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
    6. 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, March.
    7. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
    8. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
    9. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
    10. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
    11. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    12. Ana-Maria Fuertes & Jose Olmo, 2016. "On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?," JRFM, MDPI, vol. 9(3), pages 1-20, September.
    13. Zanetti Chini, Emilio, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," International Journal of Forecasting, Elsevier, vol. 34(4), pages 711-732.
    14. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
    15. Costas Milas & Ruthira Naraidoo, 2009. "Financial Market Conditions, Real Time, Nonlinearity and European Central Bank Monetary Policy: In-Sample and Out-of-Sample Assessment," Working Papers 200923, University of Pretoria, Department of Economics.
    16. Moretti, Laura, 2014. "Inflation targeting and product market deregulation," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 372-386.
    17. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, University Library of Munich, Germany.
    18. Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
    19. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
    20. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 432-453, April.

    More about this item

    Keywords

    Inflation Targeting; Rational Expectations; Adaptive Expectations; Surveys; Inflation Expectations.;
    All these keywords.

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:75912. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.