1 février 2019
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Camille Cornand et al., « On the external validity of experimental inflation forecasts: A comparison with five categories of field expectations: A comparison with five categories of field expectations », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.lhuz9n
Establishing the external validity of laboratory experiments in terms of inflation forecasts is crucialfor policy initiatives to be valid outside the laboratory. Our contribution is to document whetherdifferent measures of inflation expectations based on various categories of agents (participantsto experiments, households, industry forecasters, professional forecasters, financial marketparticipants and central bankers) share common patterns by analyzing: the forecastingperformances of these different categories of data; the information rigidities to which they aresubject; the determination of expectations. Overall, the different categories of forecasts exhibitcommon features: forecast errors are comparably large and autocorrelated, forecast errors andforecast revisions are predictable from past information, which suggests the presence ofinformation frictions. Finally, the standard lagged inflation determinant of inflation expectations isrobust to the data sets. There is nevertheless some heterogeneity among the six different sets. Ifexperimental forecasts are relatively comparable to survey and financial market data, central bankforecasts seem to be superior.