New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors.
AffiliationUniversity of Piraeus
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AbstractThis paper investigates the impact of both asset and macroeconomic forecast errors on inflation forecast errors in the USA by making use of a two‐regime model. The findings document a significant contribution of both types of forecast errors to the explanation of inflation forecast errors, with the pass‐through being stronger when these errors move within the high‐volatility regime.
CitationApergis, N. (2017) 'New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors', Journal of Forecasting, 36(5), pp.557-565.
JournalJournal of Forecasting
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