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How informative are aggregated inflation expectations? Evidence from the ECB Survey of Professional Forecasters

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  • Oinonen, Sami
  • Paloviita, Maritta

Abstract

This study examines aggregated short- and long-term inflation expectations in the unbalanced panel of the ECB Survey of Professional Forecasters. The focus of the study is on heterogeneity of expectations and changing panel composition. First, we compare two sub-groups of survey respondents divided on the basis of forecast accuracy. Then, we examine possible differences between regular and irregular forecasters. Finally, we assess the relevance of aggregated forecast revisions in the unbalanced panel by constructing alternative forecast revisions based on the set of sub-panels of fixed composition. The results show that, because of heterogeneity across individual views, aggregated inflation expectations in the ECB SPF must be analysed also on a micro level.

Suggested Citation

  • Oinonen, Sami & Paloviita, Maritta, 2016. "How informative are aggregated inflation expectations? Evidence from the ECB Survey of Professional Forecasters," Bank of Finland Research Discussion Papers 15/2016, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp2016_015
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    References listed on IDEAS

    as
    1. Giordani, Paolo & Soderlind, Paul, 2003. "Inflation forecast uncertainty," European Economic Review, Elsevier, vol. 47(6), pages 1037-1059, December.
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    3. Geoff Kenny & Thomas Kostka & Federico Masera, 2014. "How Informative are the Subjective Density Forecasts of Macroeconomists?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 163-185, April.
    4. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2010. "An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-28.
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    7. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
    8. Joshua Abel & Robert Rich & Joseph Song & Joseph Tracy, 2016. "The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of Professional Forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 533-550, April.
    9. Cristina Conflitti, 2012. "Measuring Uncertainty and Disagreement in the European Survey of Professional Forecasters," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2011(2), pages 69-103.
    10. Kenny, Geoff & Genre, Véronique & Bowles, Carlos & Friz, Roberta & Meyler, Aidan & Rautanen, Tuomas, 2007. "The ECB survey of professional forecasters (SPF) - A review after eight years' experience," Occasional Paper Series 59, European Central Bank.
    11. Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015. "Optimal combination of survey forecasts," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
    12. Fernanda Nechio, 2015. "Have long-term inflation expectations declined?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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