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Survey measures of inflation expectations in Poland: are they relevant from the macroeconomic perspective?

Author

Listed:
  • Tomasz Lyziak

    (Narodowy Bank Polski, Warsaw, Poland)

Abstract

This paper estimates different versions of the stylized New Keynesian model of the Polish economy, in which alternative measures of inflation expectations are used, that is, model-consistent (rational) expectations and survey-based expectations of consumers, enterprises and financial sector analysts. To compare dynamic properties of the models, we analyse propagation of the interest rate impulse, exchange rate impulse and a permanent change of inflation target. Differences in impulse responses pose the question which model should be treated as the most adequate. Analysis of in-sample inflation forecasting errors suggests that the model with rational expectations displays the lowest forecasting accuracy, while the model using expectations of enterprises is the best-performing model. In more general terms, our analysis suggests the best way of exploiting survey data on inflation expectations is not by using them as separate forward-looking information, alternative to macroeconomic models, but by combining both types of information.

Suggested Citation

  • Tomasz Lyziak, 2016. "Survey measures of inflation expectations in Poland: are they relevant from the macroeconomic perspective?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 16(1), pages 33-52.
    • Handle: RePEc:bic:journl:v:16:y:2016:i:1:p:33-52
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    File URL: http://www.tandfonline.com/doi/full/10.1080/1406099X.2016.1165402
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    Citations

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    Cited by:

    1. Tomasz Lyziak, 2016. "Financial crisis, low inflation environment and short-term inflation expectations in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 47(3), pages 285-300.
    2. Szafranek, Karol, 2017. "Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy," Economic Modelling, Elsevier, vol. 63(C), pages 334-348.
    3. Tomasz Chmielewski & Mariusz Kapuściński & Andrzej Kocięcki & Tomasz Łyziak & Jan Przystupa & Ewa Stanisławska & Ewa Wróbel, 2018. "Monetary transmission mechanism in Poland. What do we know in 2017?," NBP Working Papers 286, Narodowy Bank Polski.
    4. Tomasz Chmielewski & Andrzej Kocięcki & Tomasz Łyziak & Jan Przystupa & Ewa Stanisławska & Małgorzata Walerych & Ewa Wróbel, 2020. "Monetary policy transmission mechanism in Poland What do we know in 2019?," NBP Working Papers 329, Narodowy Bank Polski.
    5. Tomasz Łyziak, 2016. "The impact of financial crisis and low inflation environment on short-term inflation expectations in Poland," NBP Working Papers 235, Narodowy Bank Polski.
    6. Stanisławska, Ewa & Paloviita, Maritta & Łyziak, Tomasz, 2019. "Assessing reliability of aggregated inflation views in the European Commission consumer survey," Bank of Finland Research Discussion Papers 10/2019, Bank of Finland.
    7. repec:zbw:bofrdp:2019_010 is not listed on IDEAS
    8. Stanisławska, Ewa & Paloviita, Maritta & Łyziak, Tomasz, 2019. "Assessing reliability of aggregated inflation views in the European Commission consumer survey," Research Discussion Papers 10/2019, Bank of Finland.

    More about this item

    Keywords

    Inflation expectations; survey; New Keynesian model; monetary transmission mechanism; Poland;
    All these keywords.

    JEL classification:

    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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