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Forecasting inflation via electronic markets: Results from a prototype market

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  • Berlemann, Michael

Abstract

Forecasts of macroeconomic variables as the inflation rate serve as important guidelines for the private as well as the public sector. At least central banks that adopted an inflation targeting regime are in urgent need of high quality inflation forecasts. Accurate inflation forecasts are also needed within private sector wage negotiations. In this paper we present a new method to predict future inflation via conducting electronic markets. We show at the example of a prototype market how the market data of such an experimental market can be used to generate predictions of the future inflation rate. We also show that the market data provide important evidence on the distribution of inflation expectations. --

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Bibliographic Info

Paper provided by Dresden University of Technology, Faculty of Business and Economics, Department of Economics in its series Dresden Discussion Paper Series in Economics with number 06/01.

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Date of creation: 2001
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Handle: RePEc:zbw:tuddps:0601

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Postal: 01062 Dresden
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Web page: http://www.tu-dresden.de/wiwi/
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Related research

Keywords: Inflation Forcasting; Inflation Targeting; Electronic Markets;

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References

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  18. Pearce, Douglas K, 1979. "Comparing Survey and Rational Measures of Expected Inflation: Forecast Performance and Interest Rate Effects," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 11(4), pages 447-56, November.
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Cited by:
  1. Michael Berlemann & Kalina Dimitrova & Nikolay Nenovsky, 2000. "Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria," William Davidson Institute Working Papers Series wp759, William Davidson Institute at the University of Michigan.

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