How Informative are Aggregated Inflation Expectations? Evidence from the ECB Survey of Professional Forecasters
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This study examines short- and long-term inflation expectations in the unbalanced panel of the ECB Survey of Professional Forecasters. We focus on dispersion of forecaster views comparing two sub-groups of survey respondents based on forecast accuracy. We then examine possible differences between regular and irregular forecasters, and assess the impacts of varying panel composition on aggregated survey information. Our analysis indicates that survey participation is not necessarily completely random, i.e., statistically independent of forecaster views or confidence levels. While the study provides evidence that aggregated survey responses are generally a reliable proxy for inflation expectations in the euro area, one should also pay attention to expectations at the micro level, especially in periods of increased forecast uncertainty.
KeywordsSurvey data Aggregated inflation expectations Euro area ECB SPF
JEL ClassificationC53 E37 E31
The views expressed in this study are not necessarily those of the Bank of Finland. The authors would like to thank Michael Graff and two anonymous Referees for useful comments. They gratefully acknowledge helpful suggestions received at the Finnish Economic Association XXXVI Annual Meeting (Kuopio, Finland 2014) and the BCRC Berlin Conference (Berlin, Germany 2014). Special thanks also to participants of the 32nd CIRET Conference “Economic Tendency Surveys and Economic Policy” (Hangzhou, China, 2014) and the 9th Computational and Financial Econometrics Conference (London, UK 2015).
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