TY  - JOUR
AU  - Ang,Andrew
AU  - Bekaert,Geert
AU  - Wei,Min
TI  - Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11538
PY  - 2005
Y2  - August 2005
UR  - http://www.nber.org/papers/w11538
L1  - http://www.nber.org/papers/w11538.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Min Wei
Federal Reserve Board
Division of Monetary Affairs
Mail stop 74
Washington, DC 20551
E-Mail: min.wei@frb.gov
M2  - featured in NBER digest on 2005-08-08
AB  - 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.
ER  -