This article explores professionals’ inflation forecasts, specifically the structure of their forecast error. Recent papers considering professionals’ inflation forecast have focused on the role of forecaster inattentiveness. We consider a new additional dimension of inattentiveness which is observed when forecasters form multi-period forecasts, and implicitly their perceived momentum of inflation. The present analysis introduces a novel model that is investigated empirically using survey-based data for the US. It establishes a new structure for the professionals’ forecast error accounting for both dimensions of inattentiveness, which relates respectively to forecast updating and multi-period forecasting in each period.

Professionals Inflation Forecasts: The Two Dimensions of Forecaster Inattentiveness / Joshy Easaw; Roberto Golinelli. - In: OXFORD ECONOMIC PAPERS. - ISSN 0030-7653. - STAMPA. - 74:3(2022), pp. 701-720. [10.1093/oep/gpab012]

Professionals Inflation Forecasts: The Two Dimensions of Forecaster Inattentiveness

Roberto Golinelli
Secondo
2022

Abstract

This article explores professionals’ inflation forecasts, specifically the structure of their forecast error. Recent papers considering professionals’ inflation forecast have focused on the role of forecaster inattentiveness. We consider a new additional dimension of inattentiveness which is observed when forecasters form multi-period forecasts, and implicitly their perceived momentum of inflation. The present analysis introduces a novel model that is investigated empirically using survey-based data for the US. It establishes a new structure for the professionals’ forecast error accounting for both dimensions of inattentiveness, which relates respectively to forecast updating and multi-period forecasting in each period.
2022
Professionals Inflation Forecasts: The Two Dimensions of Forecaster Inattentiveness / Joshy Easaw; Roberto Golinelli. - In: OXFORD ECONOMIC PAPERS. - ISSN 0030-7653. - STAMPA. - 74:3(2022), pp. 701-720. [10.1093/oep/gpab012]
Joshy Easaw; Roberto Golinelli
File in questo prodotto:
File Dimensione Formato  
gpab012.pdf

accesso aperto

Tipo: Versione (PDF) editoriale
Licenza: Licenza per Accesso Aperto. Creative Commons Attribuzione (CCBY)
Dimensione 306.33 kB
Formato Adobe PDF
306.33 kB Adobe PDF Visualizza/Apri
gpab012_supplementary_data.zip

accesso aperto

Tipo: File Supplementare
Licenza: Licenza per Accesso Aperto. Creative Commons Attribuzione (CCBY)
Dimensione 754.81 kB
Formato Zip File
754.81 kB Zip File Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/816986
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact