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首页> 外文期刊>The North American journal of economics and finance >Inflation expectations: Does the market beat econometric forecasts?
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Inflation expectations: Does the market beat econometric forecasts?

机译：通胀预期：市场是否超过计量经济学的预测？

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摘要

The present paper compares expected inflation to (econometric) inflation forecasts based on a number of forecasting techniques from the literature using a panel of ten industrialized countries during the period from 1988 to 2007. To capture expected inflation, we develop a recursive filtering algorithm that extracts unexpected inflation from real interest rate data, even in the presence of diverse risks and a potential Mundell-Tobin-effect. The extracted unexpected inflation is compared to the forecasting errors often econometric forecasts. In addition to the standard AR(p) and ARMA(l.l) models, which are known to have the best performance on average, we also employ several Phillips curve-based approaches, VAR, dynamic factor models and two simple model averaging approaches. Finally, we show that the quality of the expectations clearly matches the quality of the forecasts derived with the techniques that are currently proposed for this purpose in the economic literature.
机译：本文使用1988年至2007年期间由十个工业化国家组成的小组，根据文献中的多种预测技术，将预期通货膨胀与（计量经济）通货膨胀预测进行了比较。为了捕获预期通货膨胀，我们开发了一种递归过滤算法，该算法提取了即使存在多种风险和潜在的蒙代尔-托宾效应，实际利率数据也会导致意外的通货膨胀。将提取的意外通货膨胀与通常是计量经济学预测的预测误差进行比较。除了已知平均具有最佳性能的标准AR（p）和ARMA（1.1）模型外，我们还采用了几种基于菲利普斯曲线的方法，VAR，动态因子模型和两种简单的模型平均方法。最后，我们表明期望的质量与经济文献中当前为此目的提出的技术得出的预测质量明显匹配。

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