Forecasting Inflation via Electronic Markets

While there are various techniques of inflation forecasting in use, none of them has proved to deliver consistently more accurate forecasts than the others. That is why most users of inflation forecasts monitor a variety of inflation indicators and forecasts and check them for consistency. This pape...

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Bibliographic Details
Published inAnnals of economics and finance Vol. 14; no. 2(A); pp. 361 - 388
Main Authors Berlemann, Michael, Nelson, rest D
Format Journal Article
LanguageEnglish
Published Beijing Peking University Press 01.11.2013
Subjects
Central banks
Consumer Price Index
Econometrics
Economic models
Experiments
Forecasting
Forecasting techniques
Futures
Inflation
Interest rates
Macroeconomics
Markets
Monetary policy
Money markets
Phillips curve
Pilot projects
Price level changes
Securities markets
Stock exchanges
Svensson, Lars
Germany
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Summary:While there are various techniques of inflation forecasting in use, none of them has proved to deliver consistently more accurate forecasts than the others. That is why most users of inflation forecasts monitor a variety of inflation indicators and forecasts and check them for consistency. This paper aims at contributing to an extension of the methods in use. We show that experimental inflation forecasting markets are highly useful in uncovering market participants' inflation expectations. We also present evidence from a number of pilot experiments underlining that the proposed method might enrich the arsenal of existing forecasting techniques.
ISSN:1529-7373