Deriving inflation forecasts from government bond prices

Deriving Agents’ Inflation Forecasts from the Term Structure of Interest Rates

Résumé .....................................................................................................v

G-7 Inflation Forecasts

This paper compares the forecasting performance of some leading models of inflation for the cross section of G-7 countries. We show that bivariate and trivariate models suggested by economic theory or statistical analysis are hardly better than univariate models. Phillips’ curve models fit well into this class. Significant improvements in both MSE of the forecasts and in turning point predictio...

Conservatism in Inflation Forecasts

Abstract: This paper examines the extent to which professional forecasters exhibit conservatism in their announced inflation forecasts. Conservatism occurs as a result of a secondary objective captured in the forecaster’s loss function: they would like to avoid having large forecast errors, but also would like to avoid making large revisions to previously announced forecasts. As a result of for...

Import Prices and Inflation

Understanding the consequences of international developments for domestic inflation is an extremely important question for central banks. But before we claim to have measured the extent of import price pass-through, it is necessary to be clear on exactly what such a number is intended to mean. One can attempt to come up with an answer on the basis of either economic theory or empirical evidence...

Inflation and health care prices.