{
  "title": "Do Household Expectations Help Predict Inflation?",
  "publication": "IMF Working Papers, October 27, 2023",
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  "summary": "We examine whether changes in the distribution of household inflation expectations contain information on future inflation. We first discuss recent shifts in micro data from the US, UK, Germany, and Canada.",
  "sections": [
    {
      "heading": "Overview",
      "content": "- Research question: Whether changes in the distribution of household inflation expectations contain information on future inflation.\n- Geographic scope in descriptive analysis: US, UK, Germany, and Canada.\n- Focused econometric analysis: United States.\n- Key takeaway: The shape of the distribution of household expectations helps predict one-year-ahead CPI inflation."
    },
    {
      "heading": "Main findings",
      "content": "- Variance and skewness of household expectations’ distributions add predictive power beyond and above the median.\n- Predictive power of distributional moments is especially pronounced in periods of high inflation.\n- Qualitatively, results hold when including market-based measures and moments of the distribution of professional forecasts.\n- The predictive horizon emphasized: one-year-ahead CPI inflation."
    },
    {
      "heading": "Data and methods",
      "content": "- Uses micro data on household inflation expectations from the US, UK, Germany, and Canada for descriptive discussion.\n- Employs econometric analysis focusing on the US to test whether distributional characteristics of household expectations predict future inflation.\n- Distributional characteristics highlighted: variance and skewness (in addition to median)."
    },
    {
      "heading": "Robustness and comparative results",
      "content": "- Findings regarding the added predictive power of variance and skewness remain when market-based measures are included.\n- Findings regarding the added predictive power of variance and skewness remain when moments of the distribution of professional forecasts are included.\n- Results are qualitatively consistent across the checks reported.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2023/10/27/do-household-expectations-help-predict-inflation-540829"
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    "Authors: Luis Brandao Marques, Gaston Gelos, David J Hofman, Julia Otten, Gurnain Kaur Pasricha, Zoe Strauss",
    "Published: October 27, 2023",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9798400258152.001",
    "Research question: Whether changes in the distribution of household inflation expectations contain information on future inflation.",
    "Geographic scope in descriptive analysis: US, UK, Germany, and Canada.",
    "Focused econometric analysis: United States.",
    "Key takeaway: The shape of the distribution of household expectations helps predict one-year-ahead CPI inflation.",
    "Variance and skewness of household expectations’ distributions add predictive power beyond and above the median.",
    "Predictive power of distributional moments is especially pronounced in periods of high inflation.",
    "Qualitatively, results hold when including market-based measures and moments of the distribution of professional forecasts.",
    "The predictive horizon emphasized: one-year-ahead CPI inflation.",
    "Uses micro data on household inflation expectations from the US, UK, Germany, and Canada for descriptive discussion.",
    "Employs econometric analysis focusing on the US to test whether distributional characteristics of household expectations predict future inflation.",
    "Distributional characteristics highlighted: variance and skewness (in addition to median).",
    "Findings regarding the added predictive power of variance and skewness remain when market-based measures are included.",
    "Findings regarding the added predictive power of variance and skewness remain when moments of the distribution of professional forecasts are included.",
    "Results are qualitatively consistent across the checks reported.",
    "**Working Paper**"
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