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Forecasting inflation with the New Keynesian Phillips curve : Frequency matters
(21.04.2020)
Bank of Finland Research Discussion Papers 4/2020
Bank of Finland Research Discussion Papers 4/2020
We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation ...
Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?
(28.06.2017)
Bank of Finland Research Discussion Papers 13/2017
Bank of Finland Research Discussion Papers 13/2017
This paper studies the formation of inflation expectations in the euro area. We first analyse the forecast accuracy of ECB inflation projections relative to private sector forecasts. Then, using the ECB Survey of Professional ...
How informative are aggregated inflation expectations? Evidence from the ECB Survey of Professional Forecasters
(24.05.2016)
Bank of Finland Research Discussion Papers 15/2016
Bank of Finland Research Discussion Papers 15/2016
This study examines aggregated short- and long-term inflation expectations in the unbalanced panel of the ECB Survey of Professional Forecasters. The focus of the study is on heterogeneity of expectations and changing panel ...
The bias and efficiency of the ECB inflation projections: a State dependent analysis
(29.04.2021)
Bank of Finland Research Discussion Papers 7/2021
Bank of Finland Research Discussion Papers 7/2021
We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, ...
Analysis of aggregated inflation expectations based on the ECB SPF survey
(28.11.2014)
Bank of Finland Research Discussion Papers 29/2014
Bank of Finland Research Discussion Papers 29/2014
This paper examines aggregated inflation expectations based on the ECB Survey of Professional Forecasters (ECB SPF). We analyse possible impacts of changing panel composition on short and long term point forecasts and ...
Predicting relative forecasting performance : An empirical investigation
(08.11.2018)
Bank of Finland Research Discussion Papers 23/2018
Bank of Finland Research Discussion Papers 23/2018
The relative performance of forecasting models changes over time. This empirical observation raises two questions: is the relative performance itself predictable? If so, can it be exploited to improve forecast accuracy? ...
Inflation dynamics and forecast : frequency matters
(08.06.2021)
Bank of Finland Research Discussion Papers 8/2021
Bank of Finland Research Discussion Papers 8/2021
Policymakers and researchers see inflation characterized by cyclical fluctuations driven by changes in resource utilization and temporary shocks, around a trend influenced by inflation expectations. We study the in-sample ...