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Forecasting inflation via electronic markets: Results from a prototype market

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  • Berlemann, Michael

Abstract

Forecasts of macroeconomic variables as the inflation rate serve as important guidelines for the private as well as the public sector. At least central banks that adopted an inflation targeting regime are in urgent need of high quality inflation forecasts. Accurate inflation forecasts are also needed within private sector wage negotiations. In this paper we present a new method to predict future inflation via conducting electronic markets. We show at the example of a prototype market how the market data of such an experimental market can be used to generate predictions of the future inflation rate. We also show that the market data provide important evidence on the distribution of inflation expectations.

Suggested Citation

  • Berlemann, Michael, 2001. "Forecasting inflation via electronic markets: Results from a prototype market," Dresden Discussion Paper Series in Economics 06/01, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
  • Handle: RePEc:zbw:tuddps:0601
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    References listed on IDEAS

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    Cited by:

    1. repec:khe:scajes:v:3:y:2017:i:2:p:68-75 is not listed on IDEAS
    2. 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.

    More about this item

    Keywords

    Inflation Forcasting; Inflation Targeting; Electronic Markets;

    JEL classification:

    • C93 - Mathematical and Quantitative Methods - - Design of Experiments - - - Field Experiments
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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