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Survey Measures of Expected Inflation and the Inflation Process
Author(s) -
TREHAN BHARAT
Publication year - 2015
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12174
Subject(s) - inflation (cosmology) , core inflation , economics , autoregressive model , headline , real interest rate , econometrics , core (optical fiber) , survey data collection , inflation targeting , macroeconomics , monetary policy , statistics , mathematics , computer science , business , telecommunications , physics , theoretical physics , advertising
The accuracy of inflation forecasts obtained from household and professional surveys has deteriorated noticeably of late, to the extent that a simple autoregressive specification outperforms survey forecasts. The decline in (absolute and relative) accuracy has taken place at about the same time as an apparent change in the inflation process. Projections of household forecasts on realized inflation suggests that households have not recognized this change. For the professionals, projections of expected inflation on headline inflation have changed, but on core inflation have not. By contrast, projections of realized headline inflation on core have changed sharply.