Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets
While there are various techniques of inflation forecasting in use, none of them has proved to deliver consistently more accurate forecasts than the others. That is why most users of inflation forecasts monitor a variety of inflation indicators and forecasts and check them for consistency. This paper aims at contributing to an extension of themethods in use. We propose to conduct experimental inflation forecasting markets in order to uncover market participants' inflation expectations. While the markets directly deliver density forecasts of inflation they also allow to construct mean forecasts and a measure of forecast uncertainty. We also present evidence from a number of pilot markets underlining that the proposed method might enrich the arsenal of existing forecastingtechniques.
|Date of creation:||2005|
|Contact details of provider:|| Postal: Poschingerstr. 5, 81679 München|
Web page: http://www.cesifo-group.de
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.:
- Hasan Bakhshi & George Kapetanios & Anthony Yates, 2003.
"Rational expectations and fixed-event forecasts: an application to UK inflation,"
Bank of England working papers
176, Bank of England.
- H. Bakhshi & G. Kapetanios & T. Yates, 2005. "Rational expectations and fixed-event forecasts: An application to UK inflation," Empirical Economics, Springer, vol. 30(3), pages 539-553, October.
- M. Berlemann & K. Dimitrova & Nikolay Nenovsky, 2004.
"Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria,"
- Michael Berlemann & Kalina Dimitrova & Nikolay Nenovsky, 2000. "Assessing Market Expectations on Exchange Rates and Inflation: A Pilot Forecasting System for Bulgaria," William Davidson Institute Working Papers Series wp759, William Davidson Institute at the University of Michigan.
- Mishkin, Frederic S., 1990.
"What does the term structure tell us about future inflation?,"
Journal of Monetary Economics,
Elsevier, vol. 25(1), pages 77-95, January.
- Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
- Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
- Coletti, D. & Hunt, B. & Rose, D. & Tetlow, R., 1996. "The Bank of Canada's New Quarterly Projection Model. Part 3 , the Dynamic Model : QPM," Technical Reports 75, Bank of Canada.
- Berlemann, Michael & Schmidt, Carsten, 2001.
"Predictive accuracy of political stock markets: Empirical evidence from an European perspective,"
Dresden Discussion Paper Series in Economics
05/01, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Berlemann, Michael & Schmidt, Carsten, 2001. "Predictive accuracy of political stock markets: Empirical evidence from a European perspective," SFB 373 Discussion Papers 2001,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eichberger, Jurgen & Harper, Ian R., 1997. "Financial Economics," OUP Catalogue, Oxford University Press, number 9780198775409.
- Dean Croushore, 1996. "Inflation forecasts: how good are they?," Business Review, Federal Reserve Bank of Philadelphia, issue May, pages 15-25.
- Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
- Lovell, Michael C & Vogel, Robert C, 1973. "A CPI-Futures Market," Journal of Political Economy, University of Chicago Press, vol. 81(4), pages 1009-1012, July-Aug..
- Clements,Michael & Hendry,David, 1998.
"Forecasting Economic Time Series,"
Cambridge University Press, number 9780521632423, December.
- Sunder, Shyam, 1992.
"Market for Information: Experimental Evidence,"
Econometric Society, vol. 60(3), pages 667-695, May.
- Andrew Atkeson & Lee E. Ohanian, 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
- Robert B. Litterman, 1985.
"Forecasting with Bayesian vector autoregressions five years of experience,"
274, Federal Reserve Bank of Minneapolis.
- Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
- Sharon Kozicki, 2001. "Why do central banks monitor so many inflation indicators?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 5-42.
- Jonas D. M. Fisher & Chin Te Liu & Ruilin Zhou, 2002. "When can we forecast inflation?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 32-44.
- Ellis W. Tallman, 1995. "Inflation and inflation forecasting: an introduction," Economic Review, Federal Reserve Bank of Atlanta, issue Jan, pages 13-27.
- Forsythe, Robert & Rietz, Thomas A. & Ross, Thomas W., 1999. "Wishes, expectations and actions: a survey on price formation in election stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 39(1), pages 83-110, May.
When requesting a correction, please mention this item's handle: RePEc:ces:ifowps:_10. 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: (Klaus Wohlrabe)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.