On the external validity of experimental inflation forecasts - Sciences Po Access content directly
Journal Articles Journal of Economic Dynamics and Control Year : 2020

On the external validity of experimental inflation forecasts

Abstract

Establishing the external validity of experimental inflation forecasts is essential if laboratory experiments are to be used as decision-making tools for monetary policy. Our contribution is to document whether different measures of inflation expectations, based on various categories of agents (participants in experiments, households, industry forecasters, professional forecasters, financial market participants and central bankers), share common patterns. We do so by analyzing the forecasting performance of these different categories of data, their deviations from full information rational expectations, and the variables that enter the determination of these expectations. Overall, the different categories of forecasts exhibit common features: forecast errors are comparably large and autocorrelated, and forecast errors and forecast revisions are predictable from past information, suggesting the presence of some form of bounded rationality or information imperfections. Finally, lagged inflation positively affects the determination of inflation expectations. While experimental forecasts are relatively comparable to survey and financial market data, more heterogeneity is observed compared to central bank forecasts.
Fichier principal
Vignette du fichier
S0165188919301459.pdf (572.21 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-02894262 , version 1 (21-07-2022)

Licence

Attribution - NonCommercial

Identifiers

Cite

Camille Cornand, Paul Hubert. On the external validity of experimental inflation forecasts: A comparison with five categories of field expectations. Journal of Economic Dynamics and Control, 2020, 110, pp.103746. ⟨10.1016/j.jedc.2019.103746⟩. ⟨hal-02894262⟩
52 View
25 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More