Forecasting euro area inflation using a huge panel of survey expectations
本文利用欧盟商业与消费者调查中大量关于预期的时序数据，通过先进计算统计方法估计模型，发现企业和消费者对未来经济的看法能有效预测通胀及尾部风险，且企业预期预测力更强。
In this paper, we forecast euro area inflation and its main components using a massive number of time series on survey expectations obtained from the European Commission’s Business and Consumer Survey. To make the estimation of such a huge model tractable, we use recent advances in computational statistics to carry out posterior simulation and inference. Our findings suggest that including a wide range of firms’ and consumers’ opinions about future economic developments offers useful information to forecast prices and assess tail risks to inflation. These predictive improvements arise from surveys related to expected inflation and other questions related to the general economic environment. Finally, we find that firms’ expectations about the future seem to have more predictive content than consumer expectations.