Do macro variables, asset markets, or surveys forecast inflation better?
By: Andrew Ang, Geert Bekaert, Min Wei.
Contributors: Bekaert, Geert.; Wei, Min, 1975-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11538; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11538.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Inflation (Finance) -- United States -- Forecasting.
Description: "Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures.  We also investigate several optimal methods of combining forecasts.  Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly.  We find little evidence that combining forecasts using means or medians, or using optimal weights with prior information produces superior forecasts to survey information alone.  When combining forecasts, the data consistently places the highest weights on survey information"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.