Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244519 
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. 4/2016
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper, we investigate whether survey measures of inflation expec-tations in Sweden Granger cause Swedish CPI-inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data from 1996 to 2016. It is found that the inclusion of inflation expectations in the models tends to improve forecast precision. However, the improvement is typically small enough that it could be described as economically irrelevant. One exception can possibly be found in the expectations of businesses in the National Insti-tute of Economic Research's Economic Tendency Survey; when included in the models, these improve forecast precision in a meaningful way at short horizons. Taken together, it seems that the inflation expectations studied here do not provide a silver bullet for those who try to improve VAR-based forecasts of Swedish inflation. The largest benefits from using these survey expectations may instead perhaps be found among analysts and policy makers; they can after all provide relevant information concerning, for example, the credibility of the inflation target or challenges that the central bank might face when conducting monetary policy.
Subjects: 
Bayesian VAR
Granger causality
Out-of-sample forecasts
JEL: 
C32
F43
Document Type: 
Working Paper

Files in This Item:
File
Size
382.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.