Inflation expectations: Does the market beat econometric forecasts?
The present paper compares expected inflation to (econometric) inflation forecasts based on a number of forecasting techniques from the literature using a panel of ten industrialized countries during the period from 1988 to 2007. To capture expected inflation, we develop a recursive filtering algorithm that extracts unexpected inflation from real interest rate data, even in the presence of diverse risks and a potential Mundell–Tobin-effect.
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Volume (Year): 22 (2011)
Issue (Month): 3 ()
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