Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/154298 
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper No. 1865
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and United States. The results show that both, market-based and survey-based measures have a non-negligible predictive power for inflation developments, as compared to statistical benchmark models. Therefore, for horizons of one and two years ahead, market-based and survey-based inflation expectations actually convey information on future inflation developments.
Subjects: 
inflation expectations
inflation forecasting
inflation swap markets
market-based inflation expectations
Survey of Professional Forecasters
survey-based inflation expectations
JEL: 
E31
E37
G13
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1680-6
Document Type: 
Working Paper

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