Heterogeneity in inflation : analysing the performance of the mean, median and individual forecasters
Master thesis
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http://hdl.handle.net/11250/170188Utgivelsesdato
2013Metadata
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- Master Thesis [4487]
Sammendrag
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.