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Heterogeneity in inflation : analysing the performance of the mean, median and individual forecasters

Kierulf, Kaja
Master thesis
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URI
http://hdl.handle.net/11250/170188
Date
2013
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  • Master Thesis [3377]
Abstract
In this thesis heterogeneity in inflation forecasts is analysed. First, the Survey

of Professional Forecasters and the Michigan survey are analysed with focus on

the mean, median and individual forecasters. The forecasters are analysed with

respect to forecast bias and forecast accuracy. The performance of the individual

forecasters are analysed and compared to the performance of the mean and median

forecasters. The mean and median forecasters are found to be less biased and more

accurate than the individual forecasters. Second, a simple dynamic stochastic

general equilibrium model describing an economy with heterogeneous consumers

is analysed. The consumers in the model use two predictors and switch between the

predictors based on their past performance. The predictors in the model are also

analysed with focus on forecast bias and forecast accuracy. The mean predictor is

found to be both less biased and more accurate than the two predictors used by

the consumers in the model. However, the results are more mixed for the median

predictor which is found to be less biased, but less accurate than the predictors

used by the consumers.

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