Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246181 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2604
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF and Consensus Economics compared to their counterparts that do not. The gains in forecast accuracy from incorporating inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide useful information. By contrast, incorporating expectations derived from financial market prices or those of firms and households does not lead to systematic improvements in forecast performance. Individual models we consider are typically better than univariate benchmarks but for the euro area the professional forecasters are more accurate, especially in recent years (not always for the countries). The analysis is undertaken for headline inflation and inflation excluding energy and food and both point and density forecast are evaluated using real-time data vintages over 2001-2019.
Subjects: 
Forecasting
Inflation
Inflation expectations
Phillips curve
Bayesian VAR
JEL: 
C53
E31
E37
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4857-9
Document Type: 
Working Paper

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