Testing the Predictive Power of Mexican Consumers' Inflation Expectations
This paper introduces an indicator of consumers' inflation expectations based on data from the National Consumer Confidence Survey of Mexico (ENCO, in Spanish), and tests its predictive power over CPI inflation and other measures of inflation that correspond to smaller baskets of consumer goods, for periods that range from 1 to 12 months. Our findings show that between January 2003 and September 2010, the predictive capability of the indicator over the different measures of inflation used was weak. Due to a modification in the survey questionnaire in October 2010, as of that date we observe a significant change in the responses and, thus, in the behavior of the indicator of consumers' inflation expectations. For this reason, from October 2010 on the main use of this indicator is to be a reference of consumers' confidence in price stability.
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.:
- Gramlich, Edward M, 1983. "Models of Inflation Expectations Formation: A Comparison of Household and Economist Forecasts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(2), pages 155-173, May.
- Wändi Bruine de Bruin & Simon M. Potter & Robert W. Rich & Giorgio Topa & Wilbert Van der Klaauw, 2010. "Improving survey measures of household inflation expectations," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 16(Aug/Sep).
- Michela Nardo, 2003. "The Quantification of Qualitative Survey Data : A Critical Assessment," Journal of Economic Surveys, Wiley Blackwell, vol. 17(5), pages 645-668, December.
- Corder, Matthew & Eckloff, Daniel, 2011. "International evidence on inflation expectations during Sustained Off-Target Inflation episodes," Bank of England Quarterly Bulletin, Bank of England, vol. 51(2), pages 111-115.
- Olivier Armantier & Wändi Bruine de Bruin & Giorgio Topa & Wilbert Klaauw & Basit Zafar, 2015.
"Inflation Expectations And Behavior: Do Survey Respondents Act On Their Beliefs?,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 505-536, 05.
- Olivier Armantier & Wändi Bruine de Bruin & Giorgio Topa & Wilbert Van der Klaauw & Basit Zafar, 2011. "Inflation expectations and behavior: Do survey respondents act on their beliefs?," Staff Reports 509, Federal Reserve Bank of New York.
- Wilbert van der Klaauw & Wandi Bruine de Bruin & Giorgio Topa & Basit Zafar & Olivier Armantier, 2012. "Inflation Expectations and Behavior: Do Survey Respondents Act on their Beliefs?," 2012 Meeting Papers 121, Society for Economic Dynamics.
- Forsells, Magnus & Kenny, Geoff, 2002. "The rationality of consumers' inflation expectations: survey-based evidence for the euro area," Working Paper Series 0163, European Central Bank.
- Piotr Białowolski, 2011. "Forecasting inflation with consumer survey data – application of multi-group confirmatory factor analysis to elimination of the general sentiment factor," NBP Working Papers 100, Narodowy Bank Polski, Economic Research Department.
- Marco Malgarini, 2009. "Quantitative Inflation Perceptions and Expectations of Italian Consumers," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 68(1), pages 53-80, April.
- Jan Marc Berk, 1999. "Measuring inflation expectations: a survey data approach," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1467-1480.
- Richard Curtin, 2007. "Consumer Sentiment Surveys: Worldwide Review and Assessment," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(1), pages 7-42.
- Barnett, Alina & Macallan, Clare & Pezzini, Silvia, 2010. "Public attitudes to inflation and monetary policy," Bank of England Quarterly Bulletin, Bank of England, vol. 50(2), pages 115-123.
- Bryan, Michael F & Gavin, William T, 1986. "Models of Inflation Expectations Formation: A Comparison of Household and Economist Forecasts: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 539-544, November.
- Greer, Mark, 2003. "Directional accuracy tests of long-term interest rate forecasts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 291-298.
- Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-565, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple Non-Parametric Test Of Predictive Performance," Papers 29, California Los Angeles - Applied Econometrics.
- Batchelor, Roy A & Dua, Pami, 1989. "Household versus Economist Forecasts of Inflation: A Reassessment: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(2), pages 252-257, May.
- J. Easaw & R. Golinelli & M. Malgarini, 2012. "Do Households Anchor their Inflation Expectations? Theory and Evidence from a Household Survey," Working Papers wp842, Dipartimento Scienze Economiche, Universita' di Bologna.
- Lloyd B. Thomas, 1999. "Survey Measures of Expected U.S. Inflation," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 125-144, Fall.
- Badarinza, Cristian & Gross, Marco, 2009. "Inflation perceptions and expectations in the euro area: the role of news," Working Paper Series 1088, European Central Bank.
- Rose Cunningham & Brigitte Desroches & Eric Santor, 2010. "Inflation Expectations and the Conduct of Monetary Policy: A Review of Recent Evidence and Experience," Bank of Canada Review, Bank of Canada, vol. 2010(Spring), pages 13-25.
- Wayne Huang & Bharat Trehan, 2008. "Unanchored expectations? Interpreting the evidence from inflation surveys," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul25.
- Łyziak, Tomasz, 2003. "Consumer inflation expectations in Poland," Working Paper Series 287, European Central Bank.
- Batchelor, R A, 1986. "Quantitative v. Qualitative Measures of Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(2), pages 99-120, May.
- Mestre, Ricardo, 2007. "Are survey-based inflation expections in the euro area informative?," Working Paper Series 721, European Central Bank.
- Christopher D. Carroll, 2003. "Macroeconomic Expectations of Households and Professional Forecasters," The Quarterly Journal of Economics, Oxford University Press, vol. 118(1), pages 269-298. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:bdm:wpaper:2012-13. 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: (Dirección de Sistemas)
If references are entirely missing, you can add them using this form.