Journal of money credit and banking· 2026Q1
Do Inflation Expectations Improve Model‐Based Inflation Forecasts?
- 37citations
- Q1SCImago
- 2026year
Short summary
Models incorporating inflation expectations from professional forecasters (ECB SPF, Consensus Economics) show higher average forecast accuracy for the euro area compared to models without this information.
AI-generated from the title and abstract; the full text is not read.
Key points
- Models using professional forecaster inflation expectations (ECB SPF, Consensus Economics) are more accurate for the euro area.
- Professional forecaster expectations correct upward bias in low inflation periods.
- Expectations from financial markets, firms, and households did not improve model forecast performance.
- The findings apply to a wide range of time-series models.
AI-generated from the title and abstract; the full text is not read.
Abstract
Abstract Those of professional forecasters do. For a wide range of time‐series models for the euro area and its member states, we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's Survey of Professional Forecasters (SPF) and Consensus Economics compared to their counterparts that do not. The professional forecasters expectations seem to help to correct the upward forecast bias in the low inflation period and to make the model forecasts more robust. By contrast, incorporating expectations derived from financial market prices or those of firms and households does not lead to systematic improvements in forecast performance.
The authors' abstract, as published at the source. Journal of money credit and banking, 2026 · DOI ↗
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Field: Management Science and Operations Research
Management Science and Operations ResearchDecision Sciences