Florian Huber, Luca Onorante, Michael Pfarrhofer
arXiv 25 Jul 2022 · Econometrics · publishedInternational Journal of Forecasting (2023) · 3 citations (OpenAlex)
arXiv:2207.12225 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we forecast euro area inflation and its main components using an econometric model which exploits a massive number of time series on survey expectations for the European Commission's Business and Consumer Survey. To make estimation of such a huge model tractable, we use recent advances in computational statistics to carry out posterior simulation and inference. Our findings suggest that the inclusion of a wide range of firms and consumers' opinions about future economic developments offers useful information to forecast prices and assess tail risks to inflation. These predictive improvements do not only arise from surveys related to expected inflation but also from other questions related to the general economic environment. Finally, we find that firms' expectations about the future seem to have more predictive content than consumer expectations.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Stock and Watson (2002) Macroeconomic forecasting using diffusion indexes | 0.737 | 3 | 2 | 100% |
| 2 | Arioli, Bates, Dieden, Duca, Friz, Gayer, Kenny, Meyler, and Pavlova (2017) EU consumers’ quantitative inflation perceptions and expectations: an evaluation | 0.644 | 2 | 2 | 100% |
| 3 | Del Negro, Lenza, Primiceri, and Tambalotti (2020) What’s up with the Phillips Curve? | 0.511 | 2 | 1 | 100% |
| 4 | Cong, Chen, and Zhou (2017) Fast simulation of hyperplane-truncated multivariate normal distributions | 0.511 | 2 | 1 | 100% |
| 5 | Alessi, Ghysels, Onorante, Potter, and Peach (2014) Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of… | 0.405 | 1 | 1 | 100% |
| 6 | Bańbura, Leiva-Leon, and Menz (2021) Do inflation expectations improve model-based inflation forecasts? | 0.405 | 1 | 1 | 100% |
| 7 | Claveria, Pons, and Ramos (2007) Business and consumer expectations and macroeconomic forecasts | 0.405 | 1 | 1 | 100% |
| 8 | Claveria, Monte, and Torra (2020) “Spectral analysis of business and consumer survey data” | 0.405 | 1 | 1 | 100% |
| 9 | Claveria, Monte, and Torra (2021) "Nowcasting and forecasting GDP growth with machine-learning sentiment indicators" | 0.405 | 1 | 1 | 100% |
| 10 | De Vincent-Humphreys, Dimitrova, Falck, Henkel, and Meyler (2019) Twenty years of the ECB Survey of Professional Forecasters | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.