Visco Price Expectations in Rising Inflation

1. Auflage 2014
ISBN: 978-1-4832-9583-1
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band Volume 152, 284 Seiten, Web PDF

Reihe: Contributions to Economic Analysis

It is claimed in this book that expectations should not necessarily be treated as unobservable variables and that there is much to be learned from survey data. A unique data set is examined, the output of surveys conducted twice a year since 1952, among informed Italian businessmen and economic experts. The predictive accuracy, rationality and determinants of inflation expectations are investigated, following an extensive analysis of measurement issues.The estimate of inflation expectations are evaluated for both wholesale and consumer price changes, comparing them with those held by respondents to other surveys for different countries and with the forecasts generated by alternative predictors of the inflation process. The expectations considered in the study are shown to be remarkably accurate, anticipating all major price changes, even if during the years of high and rising inflation which have followed the first oil crisis they appear to underestimate on a number of occasions the inflation rates actually experienced, as the alternative predictors also do.An accurate testing of the rational expectations hypothesis is conducted, rejecting it over the entire sample period but not for the period of mild, but variable inflation which preceded the first oil crises.It is shown that a mixed adaptive-regressive model, with both error-learning and return-to-normality components adapts very well to the data considered in this study and that inflation expectations are also influenced by an uncertainty component which affects the adaptive coefficient. Furthermore, regression towards normality is slowed down when industrial capacity is utilized above normal, and vice-versa. Many other issues such as the dispersion of individual answers, the problems of aggregation and measurement error are also considered and an extensive bibliography of other works where use is made of direct information on expectations, is included.

Autoren/Hrsg.

Visco, I.

Inhaltsverzeichnis

1;Front Cover;1
2;Price Expectations in Rising Inflation;4
3;Copyright Page;5
4;Table of Contents;12
5;INTRODUCTION TO THE SERIES;6
6;Dedication;8
7;PREFACE;10
8;CHAPTER 1. INFLATION EXPECTATIONS: THE DIRECT APPROACH;16
8.1;1.1. The Importance of Direct Estimates of Inflation Expectations;16
8.2;1.2. A Brief Review of Direct Sources on Inflation Expectations;20
8.3;1.3. The Mondo Economico Opinion Poll;22
8.4;1.4. General Remarks on the Number and the Composition of Participants and Respondents to the Mondo Economico Surveys;23
8.5;1.5. The First Series of Mondo Economico Surveys (2nd Semester 1952 to 2nd Semester 1977);25
8.6;1.6. The Second Series of Mondo Economico Surveys (1st Semester 1978 to 2nd Semester 1980;28
8.7;1.7. The Third Series of Mondo Economico Surveys (from 1st Quarter 1981);30
8.8;1.8. General Remarks and Comparison with Other Surveys on Inflation Expectations;33
9;CHAPTER 2. THE MEASUREMENT OF INFLATION EXPECTATIONS;36
9.1;2.1. The Measurement of the Expected Rate of Inflation from Survey Data: General Remarks and the Case of Qualitative Surveys;36
9.2;2.2. The Measurement of the Expected Rate of Inflation: Quantitative Surveys and the Mondo Economico Data;43
9.3;2.3. The (Average) Expected Rate of Inflation and the Standard Deviation of Individual Expectations: Distribution Hypotheses and Results;47
9.4;2.4. Tests of the Normal Hypothesis and of the Piecewise Uniform Correction, and the Selection of "Best" Estimates of the Means and Standard Deviations of Individual Expected Rates of Inflation;61
9.5;2.5. Comparison between the Expectations of the "Production" and the "Other" Groups;75
9.6;2.6. Summary of the Results;78
9.7;Appendix to Chapter 2;80
10;CHAPTER 3. EVALUATION OF INFLATION EXPECTATIONS, 1: ACCURACY ANALYSIS;90
10.1;3.1. Preliminary Analysis and General Remarks;90
10.2;3.2. Actual vs. Anticipated Rates of Change of Prices;95
10.3;3.3. The Evaluation of Forecasting Accuracy;98
10.4;3.4. The Predictive Accuracy of the Inflation Expectations of the Respondents to Mondo Economic Surveys;101
10.5;3.5. The Anticipation of Turning Points;109
10.6;3.6. Summary of the Results;113
10.7;3.6. Summary of the Results;113
11;CHAPTER 4. EVALUATION OF INFLATION EXPECTATIONS, 2: COMPARISON WITH ALTERNATIVE PREDICTORS;116
11.1;4.1. The Predictors of Wholesale and Consumer Price Changes Chosen for Comparison;116
11.2;4.2. Preliminary Comparison of Expected Rates of Price Changes and Alternative Predictors of Inflation;127
11.3;4.3. Comparison in Terms of Predictive Accuracy of Inflation Expectations and Alternative Predictors;134
11.4;4.4. Tests of Relative Forecasting Performance;137
11.5;4.5. Turning Point Analysis;140
11.6;4.6. Summary of the Results;141
12;CHAPTER 5.
UNBIASEDNESS AND RATIONALITY OF INFLATION EXPECTATIONS;146
12.1;5.1. The Issue of "Rational" Expectations;146
12.2;5.2. The Testing of Rational Expectations;151
12.3;5.3. Statistical Analysis of Anticipation Errors and Tests of Unbiasedness;155
12.4;5.4. Tests of Rationality of Inflation Expectations;163
12.5;5.5. Aggregation Problems and Tests of Unbiasedness and Rationality;170
12.6;5.6. Error of Measurement Problems: Some Tentative Results;178
12.7;5.7. Comparison with the Alternative Predictors;182
12.8;5.8. Summary of the Results;188
13;CHAPTER 6. THE FORMATION OF INFLATION EXPECTATIONS;192
13.1;6.1. Hypotheses of Expectations Formation;192
13.2;6.2. The Estimation Strategy;199
13.3;6.3. The Estimation Results;203
13.4;6.4. Further Evaluation;224
13.5;6.5. General Remarks;230
13.6;6.6. Summary of the Results;235
14;CHAPTER 7.
CONCLUSIONS;238
15;BIBLIOGRAPHY;246
16;DATA APPENDIX;260
17;INDEX;288