Time Series
Keywords: 
Materias Investigacion::Economía y Empresa
Inflation Forecasting
Survey-Based expectations
Disaggregation
ARIMA Models
Long Memory Time Series
Issue Date: 
2011
Citation: 
Gil-Alana, L.A. (Luis A.); Moreno, A. (Antonio); Pérez-de-Gracia, F. (Fernando). "Time Series". En . , 2011,
Abstract
This paper first shows that survey-based expectations (SBE) outperform standard time series models in U.S. quarterly inflation out-of-sample prediction and that the term structure of survey-based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey-based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the recent financial crisis.

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