This paper examines the predictive performance of four measures of expected inflation over the 1969:I-1992:IV period. It also considers whether the performance of variosu inflation models varies across diverse inflationary environments. Each of the expected inflation series are presented as ex-ante forecasts, with two of the measures, the interest rate and ARIMA models, relying on sequential updating of parameter estimates initially obtianed from the 1953:I-1968:IV period. The main finding is that a survey of professional forecasters consistently outperforms three alternative methods - a random walk model, an ARIMA model and an interest rate moel of inflation - over the entire forecasting period as well as for various subperiods.
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