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How Do Oil Price Forecast Errors Impact Inflation Forecast Errors An Empirical Analysis From French And Us Inflation Forecasts
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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 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 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 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 Testing the Transparency Benefits of Inflation Targeting by : Christopher W. Crowe
Download or read book Testing the Transparency Benefits of Inflation Targeting written by Christopher W. Crowe and published by International Monetary Fund. This book was released on 2006-12 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: I test whether inflation targeting (IT) enhances transparency using inflation forecast data for 11 IT adoption countries. IT adoption promotes convergence in forecast errors, suggesting that it enhances transparency. This effect is robust to dropping observations, is strengthened by using instrumental variable estimation to eliminate mean-reversion, and is absent in placebo regressions (where IT adoption is shifted by a year). This result supports Morris and Shin's (2002) contention that better public information is most beneficial for forecasters with bad private information. However, it does not support their hypothesis that better public information could make private forecasts less accurate.
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 Inflation Forecast Uncertainty by : Paolo Giordani
Download or read book Inflation Forecast Uncertainty written by Paolo Giordani and published by . This book was released on 2000 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Measuring Oil-Price Shocks Using Market-Based Information by : Tao Wu
Download or read book Measuring Oil-Price Shocks Using Market-Based Information written by Tao Wu and published by DIANE Publishing. This book was released on 2010-10 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.
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, Inflation Uncertainty, and Relative Price Variability by : John E. Golob
Download or read book Inflation, Inflation Uncertainty, and Relative Price Variability written by John E. Golob and published by . This book was released on 1993 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Confidence about Inflation Forecasts by : Batchelor, R.A.
Download or read book Confidence about Inflation Forecasts written by Batchelor, R.A. and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors by : David Reifschneider
Download or read book Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors written by David Reifschneider and published by . This book was released on 2007 with total page 78 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 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 The Effects of Disinflationary Policies on Monetary Velocity by : William T. Gavin
Download or read book The Effects of Disinflationary Policies on Monetary Velocity written by William T. Gavin and published by . This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Evaluation of the Relationship Between Errors in Analysts' Forecasts of Earnings Per Share and Stock Prices by : Paul A. Janell
Download or read book An Empirical Evaluation of the Relationship Between Errors in Analysts' Forecasts of Earnings Per Share and Stock Prices written by Paul A. Janell and published by . This book was released on 1974 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
