Quantification of Expectations. Are They Useful for Forecasting Inflation?
Business tendency surveys are commonly used to provide estimations of a wide range of macroeconomic variables before the publication of official data. The qualitative nature of data on the direction of change has often led to quantifying survey results making use of official data, introducing a measurement error due to incorrect assumptions. Through Monte Carlo simulations it is possible to isolate the measurement error introduced by incorrect assumptions when quantifying survey results. By means of a simulation experiment we check the effect on the measurement error of respondents diverging from "rationality". We also analyse the predictive performance of different quantification methods for fourteen EU countries and the euro area. We find that allowing for asymmetric and stochastic response thresholds (indifference interval) produces a lower measurement error and more accurate forecasts.
Volume (Year): 11 (2006)
Issue (Month): 2 (September)
|Contact details of provider:|| Postal: |
Web page: http://www.economicissues.org.uk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Common, Michael S, 1985. "Testing for Rational Expectations with Qualitative Survey Data," The Manchester School of Economic & Social Studies, University of Manchester, vol. 53(2), pages 138-48, June.
- Diebold, Francis X & Mariano, Roberto S, 1995.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 13(3), pages 253-63, July.
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Tom Doan, . "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
- Jan Marc Berk, 1999. "Measuring inflation expectations: a survey data approach," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1467-1480.
- Mitchell, James, 2002. "The use of non-normal distributions in quantifying qualitative survey data on expectations," Economics Letters, Elsevier, vol. 76(1), pages 101-107, June.
- Dasgupta, Susmita & Lahiri, Kajal, 1992. "A Comparative Study of Alternative Methods of Quantifying Qualitative Survey Responses Using NAPM Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 391-400, October.
- Lee, Kevin C, 1994. "Formation of Price and Cost Inflation Expectations in British Manufacturing Industries: A Multi-Sectoral Analysis," Economic Journal, Royal Economic Society, vol. 104(423), pages 372-85, March.
- Balcombe, Kelvin, 1996. "The Carlson-Parkin method applied to NZ price expectations using QSBO survey data," Economics Letters, Elsevier, vol. 51(1), pages 51-57, April.
When requesting a correction, please mention this item's handle: RePEc:eis:articl:206claveria. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dan Wheatley)
If references are entirely missing, you can add them using this form.