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Multimodality and mixture distributions: an application to a Survey of Economic Expectations

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  • Patricio A. Jaramillo
  • Juan Carlos Piantini

Abstract

In this article we present the Silverman multimodality test and mixture distributions methodology, applying both approaches to the Survey of Economic Expectations of the Central Bank of Chile. The main results reflect the importance of a permanent monitoring of the complete distributions and not just central tendency meausures as is the practice in many central banks currently. We find that the forecasts of the private professional forecasters have systematically been in line with the inflation targeting range, although during episodes where the effective inflation proved to be outside the target range.

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  • Patricio A. Jaramillo & Juan Carlos Piantini, 2013. "Multimodality and mixture distributions: an application to a Survey of Economic Expectations," Applied Economics, Taylor & Francis Journals, vol. 45(14), pages 1801-1817, May.
    • Handle: RePEc:taf:applec:45:y:2013:i:14:p:1801-1817
    DOI: 10.1080/00036846.2011.639738
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    1. Frederic S. Miskin & Klaus Schmidt-Hebbel, 2007. "Does Inflation Targeting Make a Difference?," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 9, pages 291-372, Central Bank of Chile.
    2. Frederic S. Miskin & Klaus Schmidt-Hebbel, 2007. "Monetary Policy under Inflation Targeting: An Introduction," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 1, pages 001-022, Central Bank of Chile.
    3. Robert W. Rich & Joseph Tracy, 2006. "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports 253, Federal Reserve Bank of New York.
    4. Jose De Gregorio, 2007. "Defining Inflation Targets, the Policy Horizon and the Output-Inflation Tradeoff," Working Papers Central Bank of Chile 415, Central Bank of Chile.
    5. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
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