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Forecasting inflation rate: professional against academic, which one is more accurate

Hassani, Hossein, Coreman, Jan, Heravi, Saeed and Easaw, Joshy 2018. Forecasting inflation rate: professional against academic, which one is more accurate. Journal of Quantitative Economics 16 (3) , pp. 631-646. 10.1007/s40953-017-0114-3

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Abstract

This paper evaluates the professional forecasts, those made by financial and non-financial forecasters and the aggregate between them, by comparing their results to academic forecasts. The US quarterly inflation rate and the professional forecasts are considered for the period of 1981 third quarter to 2012 final quarter. This paper examines whether academic forecasts outperforms the professional forecasts. For short term inflation forecasting the professional forecasters (non-financial, financial and the aggregate) proved to be the most accurate, however for long term inflation forecasting academic forecasts showed to be most accurate. The results also indicate that the long term aggregate forecasts related to information from the aggregate short term forecasts and current inflation rate. Furthermore, financial forecasters use the short term non-financial forecasts in their expectations and the non-financial forecasters use the short term financial forecasts in their long term expectations. In addition, the results confirm causality between the short and long term forecasts of the non-financial forecasters. For the financial inflation forecasts, there is no causality between the short and long term financial forecasts.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Springer
ISSN: 0971-1554
Date of First Compliant Deposit: 12 January 2018
Date of Acceptance: 6 November 2017
Last Modified: 01 Jul 2019 22:58
URI: http://orca.cf.ac.uk/id/eprint/108135

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