Premium
Some properties of inflation expectations in the euro area
Author(s) -
Sorić Petar,
Lolić Ivana,
Matošec Marina
Publication year - 2020
Publication title -
metroeconomica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.256
H-Index - 29
eISSN - 1467-999X
pISSN - 0026-1386
DOI - 10.1111/meca.12273
Subject(s) - inflation (cosmology) , rational expectations , economics , adaptive expectations , perspective (graphical) , econometrics , survey of professional forecasters , survey data collection , space (punctuation) , monetary economics , monetary policy , computer science , mathematics , statistics , physics , artificial intelligence , theoretical physics , operating system
This paper assesses the euro area inflation expectations by examining five different survey‐based expectations indicators. The Survey of Professional Forecasters outperforms all other expectations indicators in terms of forecasting accuracy. We test the unbiasedness and efficiency of these indicators by viewing the Rational Expectations Hypothesis (REH) from a time‐varying perspective in a state space framework. Our model shows that the deviations from expectations' unbiasedness and efficiency are the most pronounced in the global financial crisis. Additionally, we offer evidence that the adaptive expectations and regressive expectations models are considerably more in line with actual data than REH.