MARC Record from Library of Congress

LEADER: 02100cam a22003257a 4500
001 2005618533
003 DLC
005 20050819104354.0
007 cr |||||||||||
008 050819s2005 mau sb 000 0 eng
010 $a 2005618533
040 $aDLC$cDLC
043 $an-us---
050 00 $aHB1
100 1 $aAng, Andrew.
245 10 $aDo macro variables, asset markets, or surveys forecast inflation better?$h[electronic resource] /$cAndrew Ang, Geert Bekaert, Min Wei.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11538
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 8/19/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several optimal methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts using means or medians, or using optimal weights with prior information produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information"--National Bureau of Economic Research web site.
650 0 $aInflation (Finance)$zUnited States$xForecasting.
700 1 $aBekaert, Geert.
700 1 $aWei, Min,$d1975-
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11538.
856 40 $uhttp://papers.nber.org/papers/W11538