The properties of survey-based inflation expectations in Sweden

Jonsson, Thomas; Österholm, Pär

doi:10.1007/s00181-010-0428-x

Cited by 16 publications

(4 citation statements)

References 29 publications

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“…At the one and two-year forecast horizons, both survey-based measures and market-pricing inferred measures of policy-rate expectations are biased and inefficient. These results are perhaps not too surprising given that survey-based forecasts of Swedish inflation and wage-growth have been shown to have similar shortcomings; see Jonsson andÖsterholm (2011, 2012). And despite the frequently cited disadvantages of both types of policy expectations, neither stand out as a clear winner concerning forecast accuracy.…”

Section: Discussionmentioning

confidence: 94%

Policy interest-rate expectations in Sweden: a forecast evaluation

Beechey

Österholm

2014

Applied Economics Letters

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In this paper, we evaluate two types of Swedish policy interest-rate expectations: survey expectations and expectations inferred from market pricing. The data are drawn from the most prominent survey of financial-market economists and from Swedish financial markets and the data are carefully matched by date to ensure comparability. Results show that both kinds of expectations suffer from bias and inefficiency and in terms of forecast precision there is no clear winner. We do find, though, evidence that the forecast accuracy of both kinds of policy-rate expectations has improved since the Riksbank started publishing its own policy-rate forecast, suggesting that this communication strategy has been beneficial from a policy perspective.

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Section: Discussionmentioning

confidence: 94%

Policy interest-rate expectations in Sweden: a forecast evaluation

Beechey

Österholm

2014

Applied Economics Letters

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“…Beklentilerin pozitif yanlılık sergilediği ve etkinlik için ise kesin bir karara varılamadığı ifade edilerek rasyonel beklentiler hipotezinin geçerli olmadığı sonucuna ulaşılmıştır. Jonsson ve Osterholm (2010), çalışmada İsveç için enflasyon beklentilerinin rasyonelliğini incelemişlerdir. 1996-2009 dönemi itibariyle yansızlık ve etkinlik testleri kapsamında beklentilerin rasyonel forma sahip olmadığını tespit etmişlerdir.…”

Section: Li̇teratür Taramasiunclassified

Rasyonel Beklentiler Hipotezi: Türk İmalat Sanayi Örneği

Yilmaz¹,

Abdioğlu²

2014

DEU SBE Dergisi

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Bu çalışmanın amacı Türkiye'de enflasyon beklentilerinin rasyonelliğinin test edilmesidir. Bu çalışmada 1992-2009 dönemi itibariyle Türkiye'de imalat sanayi ve alt sektörleri için enflasyon beklentilerinin rasyonelliği Türkiye İstatistik Kurumu (TÜİK) tarafından raporlanan İmalat Sanayi Eğilim İstatistikleri kullanılarak araştırılmıştır. Beklentilerin rasyonel olup olmadığı yansızlık, otokorelasyon, etkinlik ve ortogonallik analizleri ile test edilmiştir. Elde edilen sonuçlara göre incelenen dönem itibariyle toplam imalat sanayi ve alt sektörleri bazında enflasyon beklentileri rasyonel değildir.

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“…Making use of survey expectations of 12 European countries, Ghonghadze and Lux (2012) obtained a superior out-of-sample forecasting performance with a canonical opinion dynamics model than with univariate time series models. Jonsson and Österholm (2012) analysed the inflation expectations formation process in Sweden using survey expectations, obtaining a poor forecasting performance that could be partly attributable to a mismeasurement of expectations. However, Österholm (2014) found that survey-based expectations improved the out-of-sample forecasting performance of GDP growth predictions in Sweden.…”

Section: Introductionmentioning

confidence: 99%

Tracking Economic Growth by Evolving Expectations Via Genetic Programming: A Two-Step Approach

2018

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The main objective of this study is to present a two-step approach to generate estimates of economic growth based on agents' expectations from tendency surveys. First, we design a genetic programming experiment to derive mathematical functional forms that approximate the target variable by combining survey data on expectations about different economic variables. We use evolutionary algorithms to estimate a symbolic regression that links survey-based expectations to a quantitative variable used as a yardstick (economic growth). In a second step, this set of empirically-generated proxies of economic growth are linearly combined to track the evolution of GDP. To evaluate the forecasting performance of the generated estimates of GDP, we use them to assess the impact of the 2008 financial crisis on the accuracy of agents' expectations about the evolution of the economic activity in 28 countries of the OECD. While in most economies we find an improvement in the capacity of agents' to anticipate the evolution of GDP after the crisis, predictive accuracy worsens in relation to the period prior to the crisis. The most accurate GDP forecasts are obtained for Sweden, Austria and Finland.

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The properties of survey-based inflation expectations in Sweden

Cited by 16 publications

References 29 publications

Policy interest-rate expectations in Sweden: a forecast evaluation

Policy interest-rate expectations in Sweden: a forecast evaluation

Rasyonel Beklentiler Hipotezi: Türk İmalat Sanayi Örneği

Tracking Economic Growth by Evolving Expectations Via Genetic Programming: A Two-Step Approach

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