Disagreement and Biases in Inflation Expectations

被引：143

作者：

Capistran, Carlos ^{[1
]}

Timmermann, Allan ^{[2
,3
,4
]}

机构：

[1] Banco Mexico, Mexico City 06059, DF, Mexico

[2] Univ Calif San Diego, Rady Sch Management, La Jolla, CA 92093 USA

[3] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

[4] Univ Aarhus, CREATES, DK-8000 Aarhus C, Denmark

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2009年 / 41卷 / 2-3期

关键词：

C53; C82; E31; E37; asymmetric loss; real-time data; survey expectations; ASYMMETRIC LOSS; FORECASTS; MODEL; VARIABILITY; RATIONALITY; UNCERTAINTY; PREDICTION; ERRORS;

D O I：

10.1111/j.1538-4616.2009.00209.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries in the forecasters' costs of over- and underpredicting inflation. Our model implies (i) biased forecasts, (ii) positive serial correlation in forecast errors, (iii) a cross-sectional dispersion that rises with the level and the variance of the inflation rate, and (iv) predictability of forecast errors at different horizons by means of the spread between the short- and long-term variance of inflation. We find empirically that these patterns are present in inflation forecasts from the Survey of Professional Forecasters. A constant bias component, not explained by asymmetric loss and rational expectations, is required to explain the shift in the sign of the bias observed for a substantial portion of forecasters around 1982.

引用

页码：365 / 396

页数：32

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