Forecasting euro area inflation using a huge panel of survey expectations

Florian Huber*, Luca Onorante, Michael Pfarrhofer

*Korrespondierende*r Autor*in für diese Arbeit

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

Abstract

In this paper, we forecast euro area inflation and its main components using a massive number of time series on survey expectations obtained from the European Commission’s Business and Consumer Survey. To make the estimation of such a huge model tractable, we use recent advances in computational statistics to carry out posterior simulation and inference. Our findings suggest that including a wide range of firms’ and consumers’ opinions about future economic developments offers useful information to forecast prices and assess tail risks to inflation. These predictive improvements arise from surveys related to expected inflation and other questions related to the general economic environment. Finally, we find that firms’ expectations about the future seem to have more predictive content than consumer expectations.
OriginalspracheEnglisch
Seiten (von - bis)1042-1054
FachzeitschriftInternational Journal of Forecasting
Jahrgang40
Ausgabenummer3
Frühes Online-Datum9 Okt. 2023
DOIs
PublikationsstatusVeröffentlicht - 1 Juli 2024

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