Some properties of inflation expectations in the euro area
| Autor: | Petar Sorić, Marina Matošec, Ivana Lolić |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
expected inflation
rational expectations Consumer Surveys Survey of Professional Forecasters time-varying parameters model Inflation Economics and Econometrics Rational expectations 050208 finance media_common.quotation_subject 05 social sciences 0502 economics and business Financial crisis Econometrics Economics Adaptive expectations 050207 economics media_common |
| Zdroj: | Metroeconomica. 71:176-203 |
| ISSN: | 1467-999X 0026-1386 |
| DOI: | 10.1111/meca.12273 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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