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Inferring Inflation Expectations from Fixed-Event Forecasts

Author

Listed:
  • Diego Winkelried

    (Universidad del Pacifico (Lima, Peru))

Abstract

Often, expected inflation measured by surveys is available only as fixed-event forecasts. Even though these surveys do contain information of a complete term structure of expectations, direct inferences about them are troublesome. Records of fixed-event forecasts through time are associated with timevarying forecast horizons, and there is no straightforward way to interpolate such figures. This paper proposes an adaptation of the measurement model of Kozicki and Tinsley (2012) to suit the intricacies of fixed-event data. Using the Latin American Consensus Forecasts, the model is estimated to study the behavior of inflation expectations in four inflation targeters (Chile, Colombia, Mexico, and Peru). For these countries, the results suggest that the announcement of credible inflation targets has been instrumental in anchoring long-run expectations.

Suggested Citation

  • Diego Winkelried, 2017. "Inferring Inflation Expectations from Fixed-Event Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 1-31, June.
    • Handle: RePEc:ijc:ijcjou:y:2017:q:2:a:1
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    Cited by:

    1. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    2. Winkelried, Diego, 2023. "Simple interpolations of inflation expectations," Economics Letters, Elsevier, vol. 229(C).
    3. Mototsugu Shintani & Naoto Soma, 2020. "The Effects of QQE on Long-run Inflation Expectations in Japan," CARF F-Series CARF-F-494, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Feldkircher, Martin & Siklos, Pierre L., 2019. "Global inflation dynamics and inflation expectations," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 217-241.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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