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Do the Measurements of Financial Market Inflation Expectations Yield Relevant Macroeconomic Information?

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  • Martin Fukaè

    (Center for Economic Research and Graduate Education of Charles University, Prague; Economics Institute of the Academy of Sciences of the Czech Republic, Prague – CERGE-EI)

Abstract

Monthly data concerning the inflation expectations of financial analysts in the Czech Republic exhibit a tendency for bias and ineffectiveness. This paper analyses, from a macroeconomic perspective, whether the surveyed data include any relevant macroeconomic information, specifically, whether the surveyed expectations correspond to market expectations considered in macroeconomic analysis and models. Using a methodology based on a simple Fisher rule, it is found that the difference between the surveyed and market inflation expectations is not statistically significant. From this perspective, it is concluded the surveyed inflation expectations bear economically relevant information.

Suggested Citation

  • Martin Fukaè, 2005. "Do the Measurements of Financial Market Inflation Expectations Yield Relevant Macroeconomic Information?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(7-8), pages 344-362, July.
    • Handle: RePEc:fau:fauart:v:55:y:2005:i:7-8:p:344-362
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    market inflation expectations; surveyed inflation expectations; Fisher rule;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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