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Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets

  • Michael Berlemann
  • Forrest Nelson

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.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-Ifo_Working_Papers/wp-ifo-2005-2010/IfoWorkingPaper-10.pdf
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Paper provided by Ifo Institute - Leibniz Institute for Economic Research at the University of Munich in its series Ifo Working Paper Series with number Ifo Working Papers No. 10.

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Date of creation: 2005
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Handle: RePEc:ces:ifowps:_10
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  12. 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, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
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  14. 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.
  15. 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.
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  17. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
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