我们是如何错过通胀激增的?2020 年后通胀预测误差剖析

IF 3.4 3区 经济学 Q1 ECONOMICS Journal of Forecasting Pub Date : 2024-03-12 DOI:10.1002/for.3088
Christoffer Koch, Diaa Noureldin
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引用次数: 0

摘要

本文利用国际货币基金组织《世界经济展望》中对一大批发达经济体和新兴市场经济体的核心通胀和总体通胀的预测,分析了 2021Q1-2022Q3 期间的通胀预测误差。研究结果显示了预测偏差的证据,这种偏差最初有所恶化,但在样本末期有所缓解。此外,还有证据表明预测存在超平滑现象,这表明在面对新的信息时,预测修正是僵化的。以 2021 年核心通胀预测误差为重点,四个因素提供了潜在的事后解释:需求复苏强于预期;需求对供应链造成的压力;大流行病爆发时需求从服务转向商品;以及劳动力市场紧缩。事前,我们发现不同政府在 2020 年宣布的 COVID-19 财政刺激计划的规模与发达经济体的核心通胀预测误差正相关。这一结果暗示了潜在的预测低效,但我们要提醒的是,这取决于少数几个经济体(尽管是大型经济体)的结果。
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How we missed the inflation surge: An anatomy of post-2020 inflation forecast errors

This paper analyzes the inflation forecast errors over the period 2021Q1–2022Q3 using forecasts of core and headline inflation from the International Monetary Fund World Economic Outlook for a large group of advanced and emerging market economies. The findings reveal evidence of forecast bias that worsened initially and then subsided towards the end of the sample. There is also evidence of forecast oversmoothing, indicating rigidity in forecast revision in the face of incoming information. Focusing on core inflation forecast errors in 2021, four factors provide a potential ex post explanation: a stronger-than-anticipated demand recovery; demand-induced pressures on supply chains; the demand shift from services to goods at the onset of the pandemic; and labor market tightness. Ex ante, we find that the size of the COVID-19 fiscal stimulus packages announced by different governments in 2020 correlates positively with core inflation forecast errors in advanced economies. This result hints at potential forecast inefficiency, but we caution that it hinges on the outcomes of a few, albeit large, economies.

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来源期刊
CiteScore
5.40
自引率
5.90%
发文量
91
期刊介绍: The Journal of Forecasting is an international journal that publishes refereed papers on forecasting. It is multidisciplinary, welcoming papers dealing with any aspect of forecasting: theoretical, practical, computational and methodological. A broad interpretation of the topic is taken with approaches from various subject areas, such as statistics, economics, psychology, systems engineering and social sciences, all encouraged. Furthermore, the Journal welcomes a wide diversity of applications in such fields as business, government, technology and the environment. Of particular interest are papers dealing with modelling issues and the relationship of forecasting systems to decision-making processes.
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