Series: Occasional Papers. 2018.
Author: Luis J. Álvarez and Mónica Correa-López
Prices and margins
- Inflation
- Quantitative methods
- Exchange rates
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.