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Inflation forecasts using the tips yield curve
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Orientador(es)
Resumo(s)
In this paper month-on-month inflation is forecasted using information on
expected inflation by participants in financial markets as an additional regressor
to a direct autoregressive method and the results are compared to those of the
most commonly used univariate forecasting methods. These forecasts are then
used to forecast quarterly inflation and the results are compared to those of the
SPF and iterated autoregressive with fixed number of lags.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics
Palavras-chave
Inflation forecasting Treasury inflation protected securities (TIPS) Survey of professional forecasters