Do Macro Variables , Asset Markets or Surveys Forecast Inflation Better ?

@inproceedings{Ang2005DoMV,
  title={Do Macro Variables , Asset Markets or Surveys Forecast Inflation Better ?},
  author={Andrew Ang and Geert Bekaert and Min Wei},
  year={2005}
}
Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several optimal methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term… CONTINUE READING
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