Whose inflation expectations forecast best? Alternatives based on survey and financial data

Whose inflation expectations forecast best? Alternatives based on survey and financial data | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Whose inflation expectations forecast best? Alternatives based on survey and financial data Pierre Siklos, Monique Reid This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-7319211/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract Lars Svensson (1997) argued that inflation targeting should be called inflation forecast targeting, capturing the fact that monetary policy is necessarily forward looking. Inflation forecast performance is therefore a critical element for good conduct in monetary policy. As more measures of inflation expectations have become available, it is worth asking whether some are better than others at forecasting inflation and whether the long-held belief that forecast averaging outperforms individual forecasts continues to hold. We consider five sources of inflation forecasts for South Africa, including three unique quarterly surveys of firms, financial analysts and trade unions. We find that a linear combination of forecasts obtained from a factor model can improve the accuracy of forecasting over alternative forms of aggregation. JEL classification C82, E31, E37 Forecasting inflation expectations survey data Full Text Additional Declarations No competing interests reported. Supplementary Files Results.docx Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-7319211","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":499591022,"identity":"e9e35b14-eea9-42b4-a4c8-9b9e31e7e81b","order_by":0,"name":"Pierre Siklos","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAAsElEQVRIiWNgGAWjYFACxmaGBwwMcgzsJGlJYGAwZmAmwRpmkJbEBqK1mPMfbjZIqKhL33CYx4DhRw0RWixnJDYnJJw5nAvSwthzjAgtBjcYmw8kth3I3QbUwszARoyW8wdBWurSzcBa/hGj5QDQYYltzAlgLYxtRGgB+cUA6BfD/YfZCg729hGhxZz/+GOJDxV18pLtzRsf/PhGjMOQOQeI0ICmZRSMglEwCkYBVgAAdr82AuWu6UgAAAAASUVORK5CYII=","orcid":"","institution":"Wilfrid Laurier University","correspondingAuthor":true,"prefix":"","firstName":"Pierre","middleName":"","lastName":"Siklos","suffix":""},{"id":499591023,"identity":"575e7863-b4ee-4416-90f2-d7df31ea796a","order_by":1,"name":"Monique Reid","email":"","orcid":"","institution":"South African Reserve Bank","correspondingAuthor":false,"prefix":"","firstName":"Monique","middleName":"","lastName":"Reid","suffix":""}],"badges":[],"createdAt":"2025-08-07 13:23:18","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-7319211/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-7319211/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":89529638,"identity":"d6c71146-2e8a-4bc8-960a-68bd1b2ed32d","added_by":"auto","created_at":"2025-08-21 03:36:35","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":1257410,"visible":true,"origin":"","legend":"","description":"","filename":"Whoseinflationexpectationsmanuscript.pdf","url":"https://assets-eu.researchsquare.com/files/rs-7319211/v1_covered_8e07f423-bb06-4144-b7d1-0e2ae0eac2d9.pdf"},{"id":89528052,"identity":"5ae3b22b-de5d-4132-9c6f-ce6268c8c293","added_by":"auto","created_at":"2025-08-21 03:04:32","extension":"docx","order_by":0,"title":"","display":"","copyAsset":false,"role":"supplement","size":1153583,"visible":true,"origin":"","legend":"","description":"","filename":"Results.docx","url":"https://assets-eu.researchsquare.com/files/rs-7319211/v1/c17ab1e827ea71464cc05fb6.docx"}],"financialInterests":"No competing interests reported.","formattedTitle":"\u003cp\u003eWhose inflation expectations forecast best? 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