Directional analysis of consumers’ forecasts of inflation in a small open economy: evidence from South Korea

Young Bin Ahn, Yoichi Tsuchiya

研究成果: Article査読

4 被引用数 (Scopus)

抄録

We evaluate the directional accuracy of consumers’ forecasts of inflation in predicting the movement of the actual CPI in a small open economy. In order to do so, we use a method developed by Pesaran and Timmermann (2009), based on South Korean data. By illustrating an application of the new market-timing test, we show that consumers’ expectations of inflation are not a useful predictor of the CPI in South Korea. Our findings suggest that the directional accuracy of consumers’ 1-year-ahead forecasts of inflation is not affected by the inflation targeting of the Bank of Korea. Our findings also suggest that consumers’ 1-year-ahead forecasts of inflation are scattered away from the Bank of Korea’s inflation target.

本文言語English
ページ(範囲)854-864
ページ数11
ジャーナルApplied Economics
48
10
DOI
出版ステータスPublished - 2016 2月 25
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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