Inflation forecasts using the tips yield curve

Autor:	Aguiar, Miguel Alexandre Pina Alves Lopes
Přispěvatelé:	Azevedo, João Valle e
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Inflation forecasting Treasury inflation protected securities (TIPS) Survey of professional forecasters
Popis:	A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics In this paper month-on-month inflation is forecasted using information on expected inflation by participants in financial markets as an additional regressor to a direct autoregressive method and the results are compared to those of the most commonly used univariate forecasting methods. These forecasts are then used to forecast quarterly inflation and the results are compared to those of the SPF and iterated autoregressive with fixed number of lags.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______1437::a230e472e849d060fcfaff71261fbc38 https://hdl.handle.net/10362/9586 Zobrazit plný text záznamu