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Professionals Inflation Forecasts: The Two Dimensions Of Forecaster Inattentiveness
[“Sectoral and aggregate inflation dynamics in the euro area”]

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  • Joshy Easaw
  • Roberto Golinelli

Abstract

This article explores professionals’ inflation forecasts, specifically the structure of their forecast error. Recent papers considering professionals’ inflation forecast have focused on the role of forecaster inattentiveness. We consider a new additional dimension of inattentiveness which is observed when forecasters form multi-period forecasts, and implicitly their perceived momentum of inflation. The present analysis introduces a novel model that is investigated empirically using survey-based data for the US. It establishes a new structure for the professionals’ forecast error accounting for both dimensions of inattentiveness, which relates respectively to forecast updating and multi-period forecasting in each period.

Suggested Citation

  • Joshy Easaw & Roberto Golinelli, 2022. "Professionals Inflation Forecasts: The Two Dimensions Of Forecaster Inattentiveness [“Sectoral and aggregate inflation dynamics in the euro area”]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 701-720.
    • Handle: RePEc:oup:oxecpp:v:74:y:2022:i:3:p:701-720.
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    2. Huw Dixon & Joshy Easaw & Saeed Heravi, 2020. "Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 461-474, July.
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    Cited by:

    1. J. Daniel Aromí & Martín Llada, 2024. "Are professional forecasters inattentive to public discussions about inflation? The case of Argentina," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2572-2587, November.

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    More about this item

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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