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Title:Using survey data on inflation expectations in the estimation of learning and rational expectations models PDF Logo
Authors:Ormeño, Arturo
Issue Date:2011
Series/Report no.:CESifo working paper: Fiscal Policy, Macroeconomics and Growth 3552
Abstract:Do survey data on inflation expectations contain useful information for estimating macroeconomic models? I address this question by using survey data in the New Keynesian model by Smets and Wouters (2007) to estimate and compare its performance when solved under the assumptions of Rational Expectations and learning. This information serves as an additional moment restriction and helps to determine the forecasting model for inflation that agents use under learning. My results reveal that the predictive power of this model is improved when using both survey data and an admissible learning rule for the formation of inflation expectations.
Subjects:survey data
learning models
inflation expectations
Bayesian econometrics
JEL:C11
D84
E30
E52
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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