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Do Household Expectations Help Predict Inflation?
Mr. Luis Brandão-Marques
Mr. Gaston Gelos
Mr. David J Hofman
Ms. Julia Otten
Gurnain Kaur Pasricha
Zoe Strauss
出版
International Monetary Fund
, 2023-10-27
主題
Business & Economics / Economics / Macroeconomics
Business & Economics / Economics / General
ISBN
9798400258152
URL
http://books.google.com.hk/books?id=k2rgEAAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
We examine whether changes in the distribution of household inflation expectations contain information on future inflation. We first discuss recent shifts in micro data from the US, UK, Germany, and Canada. We then zoom in on the US to explore econometrically whether distributional characteristics help predict future inflation. We find that the shape of the distribution of household expectations does indeed help predict one-year-ahead CPI inflation. Variance and skewness of household expectations’ distributions add predictive power beyond and above the median, especially in periods of high inflation. Remarkably, qualitatively, these results hold when including market-based measures and moments of the distribution of professional forecasts.
