Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?

55 Pages Posted: 19 Sep 2005 Last revised: 13 Jul 2022

See all articles by Andrew Ang

Andrew Ang

BlackRock, Inc

Geert Bekaert

Columbia University - Columbia Business School, Finance

Min Wei

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: August 2005

Abstract

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.

Suggested Citation

Ang, Andrew and Bekaert, Geert and Wei, Min, Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (August 2005). NBER Working Paper No. w11538, Available at SSRN: https://ssrn.com/abstract=779948

Andrew Ang (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Geert Bekaert

Columbia University - Columbia Business School, Finance ( email )

NY
United States

Min Wei

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
269
Abstract Views
2,510
Rank
72,815
PlumX Metrics