Expectativas de inflación en España: la encuesta PwC española

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Examinamos la capacidad predictiva, las propiedades de consistencia de las expectativas de inflación y sus posibles determinantes usando una encuesta a un panel de expertos y empresarios realizada en España por PwC. Al analizar la tasa de inflación general, nuestros resultados sugieren que el panel de PwC presenta alguna capacidad predictiva para los horizontes temporales desde 3 a 9 meses, mejorando cuando se trata de predecir la tasa de inflación subyacente. Sin embargo, los resultados indican que las predicciones realizadas por los participantes de la encuesta no son predictores insesgados ni eficientes de las tasas de inflación futuras, con independencia de las medidas de inflación empleadas. En cuanto a las propiedades de la consistencia del proceso de formación de las expectativas de la tasa de inflación general, obtenemos que los panelistas forman sus expectativas de forma estabilizadoras, tanto en el corto como en el largo plazo. Al centrarse en la tasa de inflación subyacente, la consistencia queda indeterminada. Por último, obtenemos que las expectativas de inflación son muy persistentes y que parecen incorporar la información contenida en algunas variables macroeconómicas (las tasas actuales de inflación subyacente y de crecimiento real, el tipo de cambio USD/EUR, el objetivo de inflación del BCE y los cambios en el tipo de interés a corto plazo del BCE).
We examine the predictive ability, the consistency properties, and the possible driving forces of inflation expectations, using a survey conducted in Spain by PwC, among a panel of experts and entrepreneurs. When analysing the headline inflation rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9 months, improving when it comes to predicting the core inflation rate. Nevertheless, the results indicate that predictions made by survey participants are neither unbiased nor efficient predictors of future inflation rates, regardless of the measures of inflation used. As for the consistency properties of the inflation expectations formation process, we find that panel members form stabilising expectations in the case of the headline inflation rate, both in the short and in the long-run, although in the case of the core inflation rate, consistency remains indeterminate. Finally, we find that inflation expectations are very persistent and that they appear to incorporate the information content of some macroeconomic variables (current core inflation and growth rate, the USD/EUR exchange rate, the European Central Bank (ECB) infla- tion target, and changes in the ECB official short-term interest rate).
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