Do macro variables, asset markets, or surveys forecast inflation better?

• 成果类型: Article
• 署名作者: Ang, Andrew; Bekaert, Geert; Wei, Min
• 署名单位: Columbia University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.04.006
• 发表日期: 2007
• 页码: 1163-1212
• 关键词: ARIMA; Phillips curve; forecasting; term structure models; Livingston; SPF

摘要

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 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 produces superior forecasts to survey information alone. When combining forecasts. the data consistently places the highest weights on survey information. (C) 2006 Elsevier B.V. All rights reserved.