On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data

Stellenbosch Working Paper Series No. WP24/2014
 
Publication date: 2014
 
Author(s):
[protected email address] (Department of Economics, Helmut-Schmidt-University)
[protected email address] (Department of Economics, University of Stellenbosch)
[protected email address] (Department of Economics, University of Pretoria)
 
Abstract:

We study the directional accuracy of South African survey data of short-term and longer-term inflation forecasts. Upon applying techniques developed for the study of relative operating characteristic (ROC) curves, we find evidence that forecasts contain information with respect to the subsequent direction of change of the inflation rate.

 
JEL Classification:

C53, D82, E37

Keywords:

inflation rate, forecasting, directional accuracy

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