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Using survey data of inflation expectations in the estimation of learning and rational expectations models

Ormeño, Arturo; Molnár, Krisztina
Working paper
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URI
http://hdl.handle.net/11250/196296
Date
2014-05
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  • Discussion papers (SAM) [675]
Abstract
Does survey data contain useful information for estimating macroeconomic models? We address this question by using survey data of inflation expectations to estimate

the New Keynesian model by Smets and Wouters (2007) and compare its performance under rational expectations and adaptive learning. The survey information serves as an additional moment restriction and helps us to determine the learning agents’ forecasting model for inflation. Adaptive learning fares similarly to rational expectations in fitting macro data, but clearly outperforms rational expectations in fitting macro and survey data simultaneously. In other words survey data contains additional information that is not present in the macro data alone.
Publisher
Norwegian School of Economics. Department of Economics
Series
Discussion paper;20/2014

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