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How Do Oil Price Forecast Errors Impact Inflation Forecast Errors
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Book Synopsis How Do Oil Price Forecast Errors Impact Inflation Forecast Errors? An Empirical Analysis from French and US Inflation Forecasts by : Frederique Bec
Download or read book How Do Oil Price Forecast Errors Impact Inflation Forecast Errors? An Empirical Analysis from French and US Inflation Forecasts written by Frederique Bec and published by . This book was released on 2014 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors for two different sets of recent forecasts data: the median of SPF inflation forecasts for the U.S. and the Central Bank inflation forecasts for France. Mainly two salient points emerge from our results. First, there is a significant contribution of oil price forecast errors to the explanation of inflation forecast errors, whatever the country or the period considered. Second, the pass-through of oil price forecast errors to inflation forecast errors is multiplied by around 2 when the oil price volatility is large.
Book Synopsis How Do Oil Price Forecast Errors Impact Inflation Forecast Errors? by : Frédérique Bec
Download or read book How Do Oil Price Forecast Errors Impact Inflation Forecast Errors? written by Frédérique Bec and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How We Missed the Inflation Surge: An Anatomy of Post-2020 Inflation Forecast Errors by : Mr. Christoffer Koch
Download or read book How We Missed the Inflation Surge: An Anatomy of Post-2020 Inflation Forecast Errors written by Mr. Christoffer Koch and published by International Monetary Fund. This book was released on 2023-05-12 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the inflation forecast errors over the period 2021Q1-2022Q3 using forecasts of core and headline inflation from the International Monetary Fund World Economic Outlook for a large group of advanced and emerging market economies. The findings reveal evidence of forecast bias that worsened initially then subsided towards the end of the sample. There is also evidence of forecast oversmoothing indicating rigidity in forecast revision in the face of incoming information. Focusing on core inflation forecast errors in 2021, four factors provide a potential ex post explanation: a stronger-than-anticipated demand recovery; demand-induced pressures on supply chains; the demand shift from services to goods at the onset of the pandemic; and labor market tightness. Ex ante, we find that the size of the COVID-19 fiscal stimulus packages announced by different governments in 2020 correlates positively with core inflation forecast errors in advanced economies. This result hints at potential forecast inefficiency, but we caution that it hinges on the outcomes of a few, albeit large, economies.
Book Synopsis Are Inflation Targets Good Inflation Forecasts? by : Marie Diron
Download or read book Are Inflation Targets Good Inflation Forecasts? written by Marie Diron and published by DIANE Publishing. This book was released on 2009 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors show that quantified inflation objectives, which have been adopted by many industrialized countries, can be used as rule-of-thumb forecasting devices. Remarkably, they yield smaller forecast errors than widely used forecasting models and the forecasts of professional experts. Tables and figures.
Book Synopsis Forecast Errors and Uncertainty Shocks by : Sylwia Nowak
Download or read book Forecast Errors and Uncertainty Shocks written by Sylwia Nowak and published by International Monetary Fund. This book was released on 2016-11-17 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomic forecasts are persistently too optimistic. This paper finds that common factors related to general uncertainty about U.S. macrofinancial prospects and global demand drive this overoptimism. These common factors matter most for advanced economies and G- 20 countries. The results suggest that an increase in uncertainty-driven overoptimism has dampening effects on next-year real GDP growth rates. This implies that incorporating the common structure governing forecast errors across countries can help improve subsequent forecasts.
Book Synopsis Forecast Errors and Financial Developments by : Palle Schelde Andersen
Download or read book Forecast Errors and Financial Developments written by Palle Schelde Andersen and published by . This book was released on 1997 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How Rational Are Inflation Expectations? A Vector Autoregression Decomposition of Inflation Forecasts and Their Errors by : Timothy J. Landvogt
Download or read book How Rational Are Inflation Expectations? A Vector Autoregression Decomposition of Inflation Forecasts and Their Errors written by Timothy J. Landvogt and published by . This book was released on 2002-05-01 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent successive over-predictions of inflation have renewed interest in the rationality of forecasters and what causes their forecasts to deviate from rational expectations This paper examines inflation forecast data from the Livingston Survey and the ASA/NBER Survey of Professional Forecasters over the past 30 years to determine what publicly available macroeconomic information, if any, explains the persistence of forecast errors. A reduced form VAR is used to identify potential inefficiencies and then calculate the impulse response functions and variance decompositions of forecasts errors to analyze how shocks to the other endogenous variables of the VAR affect forecast error behavior. The study finds that the majority of public information is used by forecasters efficiently and therefore, supports weak form rational expectations of inflation, however, there appears to be significant inefficiency in the use of past forecast errors and the term structure of interest rates in the forecasts of both surveys. The IRF analysis also uncovers a significant change in the structure and variance of forecast errors that occurs in the early 1980's. It is hypothesized that this structural change of inflation forecast errors is related to a change in the way the Federal Reserve has conducted monetary policy since the end of the Volcker deflation in 1983.
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis Incorporating Market Information Into the Construction of the Fan Chart by : Selim Elekdag
Download or read book Incorporating Market Information Into the Construction of the Fan Chart written by Selim Elekdag and published by International Monetary Fund. This book was released on 2009-08 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to explain short- and long-term dynamics of-and forecast-inflation in Tajikistan using the Vector Error Correction Model (VECM) and Autoregressive Moving Average Model (ARMA). By analyzing different transmission channels through the VECM, we were able to evaluate their relative dominance, magnitude, and speed of transition to the equilibrium price level, with the view of identifying those policy tools that will enhance the effectiveness of monetary policy. We found that excess supply of broad money is inflationary in both the short and long term. The dynamic analysis also demonstrates that the exchange rate and international inflation have a strong impact on local prices. Available monetary instruments, such as the refinancing rate, have proven to be ineffective. Therefore, the Tajik monetary authority could greatly benefit from enhancing its monetary instruments toolkit, including by developing the interest rate channel, to improve its monetary policy execution and to achieve stable inflationary conditions.
Book Synopsis Economic Forecasts by : Giles Keating
Download or read book Economic Forecasts written by Giles Keating and published by . This book was released on 1983 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation Forecast Errors and Time Variation in Term Premia by : Werner Franciscus Marcel De Bondt
Download or read book Inflation Forecast Errors and Time Variation in Term Premia written by Werner Franciscus Marcel De Bondt and published by . This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Variables and Macroeconomic Forecast Errors by : Michelle L. Barnes
Download or read book Financial Variables and Macroeconomic Forecast Errors written by Michelle L. Barnes and published by . This book was released on 2018 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for three sets of professional forecasters: the Federal Reserve's Greenbook, the Survey of Professional Forecasters (SPF), and the Blue Chip Consensus Forecasts. Even when a financial variable appears to be fairly robust across sample periods in explaining the latent factor, from an economic standpoint its contribution appears modest. Still, several financial variables retain economic significance over certain subsamples; when non-linear effects are accounted for, these variables have an improved ability to consistently predict the latent factor over the business cycle.
Book Synopsis The Production and Use of Economic Forecasts by : Giles Keating
Download or read book The Production and Use of Economic Forecasts written by Giles Keating and published by Routledge. This book was released on 1985-01-01 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Evaluation of Inflation Forecasts from Surveys Using Real-time Data by : Dean Darrell Croushore
Download or read book An Evaluation of Inflation Forecasts from Surveys Using Real-time Data written by Dean Darrell Croushore and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper carries out the task of evaluating inflation forecasts from the Livingston Survey and the Survey of Professional Forecasters, using the real time data set for macroeconomists as a source of real time data. The author examines the magnitude and patterns of revisions to the inflation rate based on the output price index and describe what data to use as actuals in evaluating forecasts. The author then runs tests on the forecasts from the surveys to see how good they are, using a variety of actuals. The author finds that much of the empirical work from 20 years ago was a misleading guide to the quality of forecasts because of unique events during the earlier sample period. Repeating that empirical work over a longer sample period shows no bias or other problems in the forecasts. The use of real-time data also matters for some key tests on some variables. If a forecaster had used the empirical results from the late 1970s and early 1980s to adjust survey forecasts of inflation, forecast errors would have increased substantially.
Book Synopsis The Distributional Implications of the Impact of Fuel Price Increases on Inflation by : Mr. Kangni R Kpodar
Download or read book The Distributional Implications of the Impact of Fuel Price Increases on Inflation written by Mr. Kangni R Kpodar and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Book Synopsis Oil Prices and the Global Economy by : Mr.Rabah Arezki
Download or read book Oil Prices and the Global Economy written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2017-01-27 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.
Book Synopsis How to Improve Inflation Forecasting in Canada by : Mr.Troy D Matheson
Download or read book How to Improve Inflation Forecasting in Canada written by Mr.Troy D Matheson and published by International Monetary Fund. This book was released on 2019-09-13 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Against the backdrop of an ongoing review of the inflation-targeting framework, this paper examines the real-time inflation forecasts of the Bank of Canada with the aim of identifying potential areas for improvement. Not surprisingly, the results show that errors in forecasting non-core inflation (commodity prices etc.) are found to be the largest contributors to overall inflation forecast errors. Perhaps more importantly, relatively small core inflation forecast errors appear to mask large and offsetting errors related to the output gap and the policy interest rate, partly reflecting a tendency to overestimate the neutral nominal policy rate in real time. Faced with these uncertainties, the Governing Council’s gradual approach to changing its policy settings appears to have served it well.
