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Inflation expectations: Does the market beat econometric forecasts?

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  • El-Shagi, Makram

Abstract

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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  • El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
    • Handle: RePEc:eee:ecofin:v:22:y:2011:i:3:p:298-319
    DOI: 10.1016/j.najef.2011.05.002
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    5. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2012. "Does Central Bank Staff Beat Private Forecasters?," IWH Discussion Papers 5/2012, Halle Institute for Economic Research (IWH).
    6. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series 1635, European Central Bank.
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    More about this item

    Keywords

    Inflation expectations; Inflation forecasts; Recursive filter;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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