Using Survey Data on Inflation Expectations in the Estimation of Learning and Rational Expectations Models

Arturo Ormeño
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Arturo Ormeño: Department of Economics, University of Amsterdam (UvA)

No 2012-007, Working Papers from Banco Central de Reserva del Perú

Abstract: Do survey data on inflation expectations contain useful information for estimating macroeconomic models? I address this question by using survey data in the New Keynesian model by Smets and Wouters (2007) to estimate and compare its performance when solved under the assumptions of Rational Expectations and learning. This information serves as an additional moment restriction and helps to determine the forecasting model for inflation that agents use under learning. My results reveal that the predictive power of this model is improved when using both survey data and an admissible learning rule for the formation of inflation expectations.

Keywords: Survey data; Learning models; Inflation expectations; Bayesian econometrics (search for similar items in EconPapers)
JEL-codes: C11 D84 E30 E52 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-cba and nep-mon
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