Series: Occasional Papers. 2018.
Author: Luis J. Álvarez and Mónica Correa-López.
Published in: Economics Letters, Volume 195, Art. 109449, October 2020
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Abstract
We analyze the information content of alternative inflation expectations measures,
including those from consumers, firms, experts and financial markets, in the context of
open economy Phillips curves. We adopt a thick modeling approach with rolling regressions
and we assess the results of an out-of sample conditional forecasting exercise by means
of meta regressions. The information content varies substantially across inflation expectations
measures. In particular, we find that those from consumers and firms are better at predicting
inflation if compared to those from experts and, especially, those from financial markets.